I\'ve just created my first mySQL table on my own (other than using Joomla, Wordpress, etc.) and I am MS SQL developer for years but normally I can easily create a foreign key i
Short answer: Yes, MySQL forces you to index foreign key.
InnoDB requires indexes on foreign keys and referenced keys so that foreign key checks can be fast and not require a table scan.
You can read more about foreign keys on MySQL documentation pages: http://dev.mysql.com/doc/refman/5.5/en/innodb-foreign-key-constraints.html