Certain MySQL engines support foreign keys. For example, InnoDB can establish constraints based on foreign keys. If you try to delete an entry in one table that has dependents in another, the delete will fail.
If you are using a table type in MySQL, such as MyISAM, that doesn't support foreign keys, you don't link the tables anywhere except your diagrams and queries.
For example, in a query you link two tables in a select statement with a join:
SELECT a, b from table1 LEFT JOIN table2 USING (common_field);