Foreign Keys are uses to ensure you don't add data to a table that doesn't link to a parent table (this would create orphan records). Using Kyro's example you can't have a sales order until you have an item to link it to.
What this means is you need to populate your refererence data first before adding your other data. By this I mean you need to add things like country or states before setting up addresses, or items for sale before you add sales orders or setup suppliers before you setup items for sale etc...
My suggestion is to print out the database schema so you can see the relationships. If you can see them on paper, you can work out what is dependant on something else and work your way backwards to where you need to start.
One thing to remember too is that FK are there to protect your data integrity. However you should technically NEVER get a FK error as your application should ensure that everything is correct with the data BEFORE you submit the INSERT or UPDATE. Also be aware of cascading deletes. If your FK are setup with that option, deleting a parent row will remove ALL your child data. If you DON'T have that option, then you cannot perform the delete without deleting the child records first...
