Without a little more information on the kind of data you are using it is a little difficult to say, but here is an example of what I think you need:
usersTable: user_id (primary key), user_name
messagesTable: message_id (primary key), user_id, message
The thing to note is that mysql doesn't provide you with the same kind of automation as access. A 'foreign' key is just in how you use the data. In the above case, you would make sure that you always put a valid user_id into the messages table. Then when creating queries, you would join the tables on that user_id:
SELECT u.user_name, m. message FROM usersTable AS u, messagesTable AS m WHERE u.user_id=m.user_id;
Hope this helps...