First we will alter the table user and add a column called zipcodeId, which is an integer.
ALTER TABLE user ADD COLUMN zipcodeId INT
The zipcodeId field references a field in another table called zipcode. Next, we'll define the foreign key constraint.
ALTER TABLE User ADD CONSTRAINT FK_User_1 FOREIGN KEY (zipcodeId) REFERENCES Zipcode (id)
That was quick and easy. Note, all of this information is readily available in the MySQL online documentation at: http://dev.mysql.com/doc/refman/5.1/en/alter-table.html