setting up a foreign key

I am attempting to setup a foreign key using System I Navigator. I've never created a foreign key before.

Here is my question and I did my best to explain it. I am very new to all of this.

Customer table with columns.
CompanyID
Account#
Customergroup
Primary/unique key on customer table is CompanyID, Account#

CustomerGroup table with columns.
CompanyIDgrp
GroupID
GroupDescription
Primary/unique key on CustomerGroup table is CompanyIDgrp, GroupID

I need to setup a foreign key.

Does the Customer table need to have an index that has Customergroup as part of the key in order for me to setup a foreign key? I cannot figure out how to choose from the Customer Table, Customergroup.
Thanks for any help.
Tammy