Actually, MySQL execute the inner query at the end, it scans every indexes before. MySQL rewrites the subquery in order to make the inner query fully dependent of the outer one.
For exemple, it select * from student (depend of your database, but could return many results), then apply the inner query user_id=4 to the previous result.
The dev team are working on this problem and it should be "solved" in the 6.0 http://dev.mysql.com/doc/refman/5.5/en/optimizing-subqueries.html
EDIT:
In your case, you should use a JOIN method.