Foreign keys must be Index in mySQL?

I've just created my first mySQL table on my own (other than using Joomla, Wordpress, etc.) and I am MS SQL developer for years but normally I can easily create a foreign key in MS SQL but I came across a difficulty or lack of knowledge here.

Here is my tables :

users

1. user_id int primary auto_increment
2. username varchar(20)
3. password varchar(20)

posts

1. post_id in primary auto_increment
2. title varchar(100)
3. message text
4. user_id int

When I try to add a foreign key to users which refers to posts->user_id, I cannot see the posts->user_id option in the option list Relation_view window on mySQL panel.

I am wondering whether I should define posts->user_id as Index or something? If so, why?