Revisa la ayuda del comando CREATE INDEX:
Cita: Examples
A. Use a simple index
This example creates an index on the au_id column of the authors table.
SET NOCOUNT OFF
USE pubs
IF EXISTS (SELECT name FROM sysindexes
WHERE name = 'au_id_ind')
DROP INDEX authors.au_id_ind
GO
USE pubs
CREATE INDEX au_id_ind
ON authors (au_id)
GO