There are still people who are believing that Foreign Key does create an index automatically by SQL Server. I think since Primary key by default creates a Clustered Index people are assuming that Foreign keys would also create an Index automatically. This is a myth and SQL Server does NOT automatically create an index on a foreign key columns. But one of the best practices for Index tuning is to Index all the columns which are part of a foreign key relationship. Check out the MSDN documentation for the sub heading Indexing FOREIGN KEY Constraints. The first line says " Creating an index on a foreign key is often useful .... ". Microsoft wouldn't be saying this if FK is automatically indexed.
I write about things which I am passionate about.