Constraints are important parts of data modeling, they are what enforce integrity, etc.
Most implementations of MySQL (based on the default installation) treat constraints as comments because of some default settings. Most versions of MySQL have the ability to support most kinds of constraints, it is just that their default configuration doesn't support constraints.
You can post in the MySQL forum for help with this, or I could move this thread into the MySQL forum for you. The first thing that we would need to know in order to help you is what version of MySQL you are using. A copy of the script output by PowerDesigner would also help, but isn't absolutely necessary.
-PatP