First of all you need to create your table with InnoDB table handler. You can even change your existing table handlers to InnoDB by using
sql. For more information on InnoDB check out http://www.innodb.com.
Then select the table in which you want to create the relationship and press F10. You can create or delete FKs with the resulting dialog. You can find a good tutorial on managing FK using SQLyog at http://www.weberdev.com/ViewArticle.php3?ArticleID=352