FOREIGN KEY constraint syntax:
ALTER TABLE TableName
ADD CONSTRAINT FK_ConstraintName
FOREIGN KEY (ForeignKey_ColumnName)
REFERENCES PrimaryKey_TableName (PrimaryKey_ColumnName)
Foreign Key Constraints are added in tables where FK column exists (Child Table) using ALTER TABLE ADD CONSTRAINT. You need to specify your column using FOREIGN KEY and related to table that contains Primary Key for this Foreign Key using REFERENCES and specifying PirmaryKey Table Name (Parent Table) and Pirmary Key Column.
In the Object Explorer I open AdventureWorksDW2012 database then I expand Tables folder and find table which I will use to add FOREIGN KEY constraint. In this case it is dbo.FactInternetSales table.
You can see that I add Foreign Key to FactInternetSales by using ALTER TABLE on this table. Add constraint name and specify field name using FOREIGN KEY (CustomerKey) and then use REFERENCE to say that CustomerKey is related to CustomerKey Primary key in DimCustomer
In the Object Explorer, Keys folder (NOT Constraints folder) I can see that new foreign key constraint is added.
I hope that help