Avi,

Some Entity-Relationship modeling tools create indexes on FK relationships for you behind the scenes but SQL Server does not do this on its own. Also, an index can only apply to a single table and is completely separate from the constraints on a table (Including FK's) so your last question really does not apply.

Example:

If you have an OrderItem table with a ProductID column that references a Product table via foreign key, the ProductID column on the OrderItem table would not automatically have an index on it but you would probably want to create one since it will likely be used frequently in join operations.