you create the foreign key contraint when creating your table or as the other poster mentioned, you will use the diagram utility (which is to limited if you want to create certain types of contraints.) there is also a major drawback to using the diagram utility. if you create your tables here and your constaints (foreign keys or relationships) and existing data violates the constraint, attempting to close the diagram utility will produce errors and not allow you to save the relationships that had integrity issues.
the diagram utility is no substitute for a real ER modeller.
syntax from books online to create a multi column foreign key:
CONSTRAINT FK_sales_backorder FOREIGN KEY (stor_id, ord_num, title_id)
REFERENCES sales (stor_id, ord_num, title_id)