How do you create a non clustered index?

Create NonClustered Index [indexname] on tablename([columnname] ASC|DESC)

Just clarifying a bit...

For a non-clustered index

CREATE NONCLUSTERED INDEX [indexname] 
ON table_or_view_name ([columnname] ASC|DESC) 
ON [filegroup_or_partition_name]

For a unique non-clustered index

CREATE UNIQUE NONCLUSTERED INDEX [indexname] 
ON table_or_view_name ([columnname] ASC|DESC) 
ON [filegroup_or_partition_name]

aw, heck! what about an example?

  CREATE NONCLUSTERED INDEX [MyTableIndex] ON [dbo].[MyTable] 
    (
        [Table_id] ASC,
        [Another_ID] ASC,
        [YetAnother_ID] ASC,
        [MyTableName] DESC,
        [StillAnother_id] ASC
    )WITH (STATISTICS_NORECOMPUTE  = OFF, SORT_IN_TEMPDB = OFF, IGNORE_DUP_KEY = OFF, DROP_EXISTING = OFF, ONLINE = OFF, ALLOW_ROW_LOCKS  = ON, ALLOW_PAGE_LOCKS  = ON) ON [PRIMARY]
    GO

but in the heat of the moment I might write

CREATE INDEX MyTableIndex ON MyTable (Table_id, Another_ID, YetAnother_ID, MyTableName DESC, StillAnother_id )
--and use the defaults

Dont forget, if you are using SSMS, that there are examples of lots of scripts like this in the templates. Hit Ctrl+Alt+T to see the template toolbar and then open the Index folder to see six different examples of index creation scripts. The Create Unique Nonclustered Index script would be closest to the one you want. Drag that to a new script window and edit it as the other answers have suggested, using an index name of your choice and the columns you need to have indexed. Then you simply need to make sure you are in the right database and run the script!

Phil has a good answer, and keep in mind that you can use multiple columns in the index. Choose the columns that are often used in the SELECT clause or the WHERE clause.