The syntax for creating function-based indexes contains some new variables, shown in bold font:
create [unique] [clustered] | nonclustered] index index_name on [[ database.] owner.] table_name (column_expression [asc | desc] [, column_expression [asc | desc]]...
Before you can execute create index you must turn the database option select into ON.
sp_dboption <dbname>, 'select into', true
See the Reference Manual: Commands and the Reference Manual: Procedures.
