Do Foreign Keys Generate Implicit Indexes?

If i create a simple table with a foreign key constraint, does it
create an implicit index on that given ID? I've been told this is
done in some databases, but i need to know for sure if SQL Server does
it. Has anyone heard of this before, on any other databses perhaps?

Heres an example of how the foreign key constraint is being added:

ALTER TABLE [dbo].[administrators] WITH CHECK ADD CONSTRAINT
[FPSLUFSUOXZGAJOJ] FOREIGN KEY([AdministratorRoleID])
REFERENCES [dbo].[administratorroles] ([AdministratorRoleID])

My initial testing seems to indicate adding an index on the foreign
key column helps, but i need to know for sure. Any insight would be
greatly appreciated!

Bob