MySQL contains a bunch of different database storage engines you can use (e.g. MyISAM, InnoDB etc.). These have different features; the MyISAM database engine for example doesn't implement relational constraints. This is just a guess, but your GUI tool might be clever enough to spot you are using the MyISAM engine (if you are) and not applying the constraint because it does nothing.
If you are not sure what storage engines are, I'd take the time to have a quick read of the documentation covering them. You will also find the syntax for specifying the engining you want to use when you create the table (or changing the default).
Joined: Jan 08, 2010
here are the steps when i configuring mysql server
I did not understand how did you agreed that it is InnoDB from the screenshots, I could not seen any thing like that
As far as I remember, mysql versions 5.0.x and previous releases uses MyIsam as the default storage engine. If you want to use Berkeley or InnoDB you have to edit my.ini file.
You have to check it first, if you see MyIsam, you can not use FK as it is not supported. Your GUI tool is a bundled tool I guess, which should show the storage engine may be in "table options" tab, have a look at it.