Depends.

If your car has the Ford factory alarm with the chip in the key, yes you have to visit the Ford dealer.

If not, no you don't.

If you don't have an alarm chip in the key, it can be copied at many hardware stores. If you have more than one key, use the least worn one for copying. Make several copies and store the extras for emergenices. But first, try each key to make sure it works in the door, trunk, and ignition before storing.

My favorite subject, Imobilizer systems.

Whether your local locksmith can service the lock system on your car or not, will depend as much on your locksmith, and how much he/she has invested to keep up with the automotive field, as well as for many consumers, what kind of car they have purchased. Your Ford Explorer is relatively easy, provided you have the first two original keys, and the system has been set with a scan tool to accept additional keys. (Up to four max, otherwise some have to be deleted)

For GM and Chrysler, the person training the system to accept the keys, has to know the routine, which often times involves original keys, and/or the electronic key FOBs. (remotes)

Toyota, is similar to GM and Chrysler but typically requires a factory scan tool also which is available provided the person servicing the car is willing to spend the money. (over $10,000 for the tool and the supporting software)

Now Honda and Nissan, you have a different ball game all together. Even if I buy the factory scan tools, (not likely because of no chance at all on recovering the investment dollar wise) they with-hold immobilizer information from anyone except their dealers. That means it's not available to me at any price direct from the manufacturer. My Vedis scan tool however is supposed to allow me to do Nissan Keys, but I have never had a chance to try it. What someone would have to do is have a locksmith make a key, and then come to me for me to try and see if my tool will teach the car to accept it or not.

The locksmith's as a trade are working hard to get what they need to continue that portoin of their business. Some manufacturers have worked with them, some have a way's to go. IMO ONLY public pressure will change that, and that's if the majority want it changed. In their defense, they claim releasing the information, and tools required compromises the security system. Not releasing it creates a monopoly, and no choice for the consumer when this type of service is required.

I think it was Consumer Reports or Bottom Line that said with one Asian car if you lost both keys you had to replace the keys at $150 and the computer at $2,000+. That is insane. I went wild when I had to pay $125 for a Mercedes key until my friend had to pay $250 for some other brand.
Another friend bought a new car and it came with only one key...can you imagine? Want an extra....$250 please.

The manufacturer you mention is in fact Toyota, and the computer that had to be replaced, with the keys was just under $1000. Toyota warrantied many of them under some kind of agreement, and has since changed the system so that it can be dealt with in the event that all of the keys come up missing.

Trust me on this, $125, $250 dollars for a key for an immobilizer system is cheap. Your saving more than that in insurance costs because of theft rates that are indeed dropping for newer cars. The problem still comes down to, you don't really have a choice about where you can go to have your key replaced. If the immobilizer system is even available to me, should I choose to buy the Mercedes factory computer equipment. I'm looking at a bill of over $22,000, just for Mercedes, plus who knows how much the updates are each year. Besides the dealership, I can only imagine elite specialty shops dolling out that kind of cash to be tooled up to correctly work on your car.

My Mercedes dealer apparently doesn't even have the machine...they have to order the keys from someone. I didn't realize that theft deterrent was one of the main purposes of the fancy key system. I thought much of it was to satisfy what the factories think is the public demand for new and novel gadgets.
I'm sure that if theft is what they are really concerned with, there has to be a less complicated way to handle it.