It is possible - assuming the data in the tables conforms to the relationships you're trying to establish. If not, you'll have to go through a data cleansing operation to sort out your data first e.g. deleting orphan records.
Alternatively, you can use SQL, thus:
ALTER TABLE doc_exe ADD
/* Add a column referencing another column in table doc2 */
column_c INT NULL
CONSTRAINT column_c_fk
REFERENCES doc2(column_a)
WITH NOCHECK
The WITH NOCHECK option tells SQL Server, not to check the current data. Don't forget, if you need to establish referential integrity between two tables, the referenced table must have a primary key on the columns you are trying to reference.
If you still have problems, try scripting the two tables in question, and post the creation script here, I might be able to spot the problem.