複数の外部キー？

主キーを2回定義しました。試してみてください：

CREATE TABLE SHIPPING_GRID(  
    id INT NOT NULL AUTO_INCREMENT PRIMARY KEY COMMENT 'Unique ID for each row',  
    shipping_vendor_no INT(6) NOT NULL COMMENT 'Foreign key to VENDOR.no for the shipping vendor (vendors_type must be 3)',  
    start_vendor_no INT(6) NOT NULL COMMENT 'Foreign key to VENDOR.no for the vendor being shipped from',  
    end_vendor_no INT(6) NOT NULL COMMENT 'Foreign key to the VENDOR.no for the vendor being shipped to',  
    shipment_duration INT(1) DEFAULT 1 COMMENT 'Duration in whole days shipment will take',  
    price FLOAT(5,5) NOT NULL COMMENT 'Price in US dollars per shipment lbs (down to 5 decimal places)',  
    is_flat_rate TINYINT(1) DEFAULT 0 COMMENT '1 if is flat rate regardless of weight, 0 if price is by lbs',  
    INDEX (shipping_vendor_no),  
    INDEX (start_vendor_no),  
    INDEX (end_vendor_no),  
    FOREIGN KEY (shipping_vendor_no) REFERENCES VENDOR (no),  
    FOREIGN KEY (start_vendor_no) REFERENCES VENDOR (no),  
    FOREIGN KEY (end_vendor_no) REFERENCES VENDOR (no)  
) TYPE = INNODB;

VENDOR主キーはINT（6）である必要があり、両方のテーブルはタイプInnoDBである必要があります。