query optimization and indexing
You can ask SQL Server to recommend the indexes that might improve performance of your query by selecting the query and clicking on this Display Estimated Execution Plan button on the taskbar (or simply Ctrl+L):



This will analyze the query and it will show you the query cost of the operations required to retrieve the data, and eventually propose which indexes might be useful.

Btw, using the joins (as on your 2nd example) should be more efficient indeed.