MySQL does not support foreign keys. It parses the Foreign Key clause in create table statements so that you can port SQL code from other databases.
If you have tables that have linked data, you need to perform the joined selection manually.
Foreign Keys are dangerous, if you delete a record out of one table it could delte all related data by way of the foreign key (and you might not want it too). Likewise relying on foreign keys can bring your whole system to a halt because you forgot one small dependancy in your 200 table database. Also (so I've read - I don't use FKs so wouldn't know) foreign keys impact on server performance.
So my advice? If you feel you need to use Foreign Keys then choose a database that supports them. I think you could live without them, and living without them will turn you into a better SQL coder.
-- Nick Gushlow