You should be looking at the online documentation, but...
To create indexes for foreign keys:
create index Order_ShipperID on Order(ShipperID);
create index Order_CustomerID on Order(CustomerID);
To create indexes on Company for Customer and Shipper:
create index Customer_Company on Customer(Company);
create index Shipper_Company on Shipper(Company);
The names of the indexes can be anything, but I usually follow this naming convention.
BTW, the choice of name "Order" is a poor one because its a reserved word.