I am trying to add primary keys to my tables, via Sequel Pro and it said "This table currently does not support relations. Only tables that use the InnoDB storage engine support them."
I went into phpMyAdmin and looked at the storage engines and saw InnoDB listed, highlighted in blue, then I selected it and it displayed this info: http://cl.ly/68Ph

It is enabled, but I am unsure how to implement it to my existing database, any help is appreciated.
You should tell your tables to use InnoDB:
ALTER TABLE mytable ENGINE=InnoDB
for existing tables,
CREATE TABLE mytable (…) ENGINE=InnoDB
for the new ones.
Note that InnoDB supports neither SPATIAL nor FULLTEXT indexes so don't use it if your application relies on them.
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