Foreign and primary keys question
Let's start with definitions then go into differences.

Primary Key
There can be only one Primary Key per table.  It is one of the candidate keys.  A candidate key is a key comprised of a column or group of columns that uniquely identify the row.  In SQL Server none of the values can be NULL but I can't say for certain that is true in other DBMSs.  

Foreign Key
A foreign key is a column or group of columns that relate two tables together.    Typically this is called a parent/child relationship.  So for example a child table will have a Parent_Id column that refers back to the Parent table.  This relationship is one of the cornerstones of the relational part of the RDBMS (Relational DataBase Management System).  There can be multiple foreign keys on a table and in fact a foreign key can even relate a table back to itself.

Comparison
As you can see they really have nothing to do with each other.  The column(s) that make up the Primary Key can be the same column(s) that are used in a Foreign Key or even multiple Foreign Keys but they don't have to be.  The Parent table must related by one of the Candidate Keys but that does not have to be the Primary Key.