Generally, you want all of your JOIN keys to have indexes on them, so yes add an index.
If this is a complex key, be sure to put all the appropriate fields in the list of index keys in the appropriate order.
As far as I know, only once when an index is created automatically in SQL Server is when you add the primary key to the heap (non-indexed table) - the PC is automatically assigned by the Index Cluster; or, as Damian points out below, when you add a UNIQUE to a field or set of fields.
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