How to set a forgien key when creating a table?

Hi, I dont know why but whenever I try to set a foreign key it causes me so much trouble!!  Can someone please tell me what I am doing wrong??

CREATE TABLE children (
 id INT AUTO_INCREMENT NOT NULL PRIMARY KEY,
 submenu_id INT FOREIGN KEY REFERENCES submenus(id) NOT NULL,
 title VARCHAR(255) NOT NULL,
 name VARCHAR(100) NOT NULL,
 blurb VARCHAR(100) NOT NULL,
 header VARCHAR(255) NOT NULL,
 img VARCHAR(100) NOT NULL,
 caption VARHCAR(255) NOT NULL,
 content TEXT NOT NULL
);

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#1064 - You have an error in your SQL syntax; check the manual that corresponds to your MySQL server version for the right syntax to use near 'FOREIGN KEY REFERENCES submenus(id) NOT NULL,
title VARCHAR(255) NOT NULL,
n' at line 3