In terms of the tools that can be used to identify this missing index yourself, have a look at the execution plan that you posted to the forum.

At the top you'll see a section of text starting with 'Missing Index' - if you right-click on the text and select 'Missing Index Details...' the index creation script will open in a new window.

The suggestions that are offered are not always optimal, but they are often a good starting point.

Other than reviewing and selectively implementing the suggestions that SQL Server offers, it's usually a case of learning to interpret execution plans and then how to optimise queries and your database design to help ensure that SQL Server chooses an optimal plan. This ebook is a good starting point if you're interested in learning more:

http://www.red-gate.com/specials/Grant.htm?utm_source=simpletalk?utm_medium=email?utm_content=Grant080527?utm_campaign=sqltoolbelt

Chris