>>http://mssqlonline.blogspot.com/2009/05/sql-server-create-multiple-filegroup.html
>>http://msdn.microsoft.com/en-us/library/ms179316.aspx
>>
>>You may want to read this:
>>http://www.devx.com/getHelpOn/Article/10016/0/page/2
>
>Thanks, after having read this, I went into the client database and saw that they added a bunch of filegroups in the database properties. Now, I have the question of knowing if I need to assume they will have it already created or if I need to verify for its existence first and create it before my CREATE INDEX command, if it is not already created.

I just tested successfully:

--Add a FileGroup:
USE NationalCensus;
GO
ALTER DATABASE NationalCensus
ADD FILEGROUP FG_ReadOnly
GO

--Return the FG_ReadOnly FileGroup Note the data_space_id = 2 and Type = FG
select * from sys.filegroups where name='FG_ReadOnly'

USE NationalCensus;
GO
ALTER DATABASE NationalCensus
ADD FILEGROUP FG_ReadWrite
GO

select * from sys.filegroups --Now the data_space_id for the next one is 3 and Type = FG (both are char)

You can use CHECKFILEGROUP, however, I remember a bug where filegroups on a partitioned table wouldn't get checked in SQL2008. I don't know if that has been fixed yet or not.