Inserting data from a field from another table

In the Data tab: I want to put a value that exists in another table (could use id) as a reference (this is one column in my table). What is the easiest way to do this? (Being able to build something like a dropdown menu would be great).

I'm guessing there's no FK support?

HeidiSQL detects foreign key columns, and provides (by default) a pulldown with the first text column from the referenced table. You just need to go into edit mode (F2). If that does not happen and you're sure you have a foreign key there, watch out if you have disabled this option in Tools > Preferences > Data editing.