SQL Server automatically creates an index for the PRIMARY KEY and UNIQUE constraints. If you want other indexes, you must create them.
(For details, search for "indexes" in SQL Enterprise Manager Help.)
Or
For example:
CREATE UNIQUE CLUSTERED INDEX au_id_ind ON authors (au_id)
creates an index on the au_id column of the authors table to enforce uniqueness.
(For details, see the CREATE INDEX statement in the Microsoft SQL Server Transact-SQL Reference.)