Maybe. Test it and see if that index helps with the performance of the application. If it does, implement it. If it doesn't, don't implement it. Either way, it's not the 'one index per foreign key' that you were asking about.
Gail Shaw
Microsoft Certified Master: SQL Server, MVP, M.Sc (Comp Sci)
SQL In The Wild: Discussions on DB performance with occasional diversions into recoverability