The optimiser will create the column statistics if it needs to know the distribution of data in that column, and stats don't exist yet. If you create an index, that index will have statistics associated with it.
The presence of auto created stats may indicate that an index would be useful on that column. It's not a guarantee though. Since you're on 2005, also take a look at the missing index DMVs and see if there's any entry in there for this particular column. Also check the queries your running and make sure that they will be helped by an index on that column.
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: Discussions on DB performance with occasional diversions into recoverability
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