phpMyAdmin lets you define foreign keys using their "relations" view. But since, MySQL only supports foreign constraints on "INNO DB" tables, the first step is to make sure the tables you are using are of that type.
To setup a foreign key so that the PID column in a table named CHILD references the ID column in a table named PARENT, you can do the following:
For both tables, go to the operations tab and change their type to "INNO DB"
Make sure ID is the primary key (or at least an indexed column) of the PARENT table.
In the CHILD table, define an index for the PID column.
While viewing the structure tab of the CHILD table, click the "relation view" link just above the "add fields" section.
You will be given a table where each row corresponds to an indexed column in your CLIENT table. The first dropdown in each row lets you choose which TABLE->COLUMN the indexed column references. In the row for PID, choose PARENT->ID from the dropdown and click GO.
By doing an export on the CHILD table, you should see a foreign key constraint has been created for the PID column.