Do you mean create an index?
If so, you have you can use a Stored Procedure (or SQL statement) that creates an index on the table/columns you want. This
reference[
^] will give you a whole slew of options because you will need to customize the index to suit your needs.
But the question I have to ask is why do you need to do this? Indexes are not something that you should toy with "on the fly". They grow, massively in some cases, for a reason and that's to cut down on seek times afterwards.