In MS-SQL, there is the concept of 'clustered' and 'non-clustered' indices.
1. there can be only ONE clustered index per table. and is NORMALLY put on the primary key. This is the index according to which the data is physically sorted in the table. So this index should be created on the most searched-on column(s).
2. there can be ANY number of non-clustered indices. data is only logically sorted for this index and this is the index normally used on foreign key(s).
So, in your case, yes, you can have as many indices as you want, although putting the clustered index on the most searched on column(s) will be the most efficient.
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Building a Better World in your Backyard by Paul Wheaton and Shawn Klassen-Koop