How do you set up a foreign key in SQL Azure?

I have a database now on the Azure system.

The tables in the database have an intended use such that there is one main, logically centralized table and then there are a number of tables which each describe some column in the main table.  For example, if I have an age classification column in the main table, I might have a separate table which lists some categories of the age classification (as a string) and some associated index.  Then the index from the age classification table would be used as a reference in the main table.

Is this what a foreign key is?  Is there some way in SQL Azure to make the association between these indexes?