SPSS does not automatically create dummy variables using the linear regression procedure. Dummy variables are indicator 0-1 used in regressions for representing categorical variables with 3 or more levels. The macro below will produce these prior to entry in a linear regression. Remember to make sure there are no empty categories.

*
* reading in from a specified file called GSS1991.sav

Open data file before running e.g using
get file='C:GSS1991.sav'.

{{{
define !d1 (!POS !TOKENS(1)
               /!POS !CMDEND).
matrix.
get x /var=!1.
compute n=mmax(x)-1.
save {n} /outfile='C:temp.sav' /vars=n.
end matrix. 
get file='C:temp.sav'. 
WRITE  ouTFILE 'C:temp.sps' /"DEFINE !nbcases()"n"!ENDDEFINE.".
exe.
!d2 !1 !2.
!enddefine.

define !d2 (!POS !TOKENS(1)
               /!POS !CMDEND).
GET FILE=!QUOTE(!CONCAT('C:', !UPCASE(!2))  ).
INCLUDE FILE='C:temp.sps'.

VECTOR !concat(!1,d) (!nbcases,F3).
LOOP #I=1 TO !nbcases.
   COMPUTE !concat(!1,d)(#I)=0.
END LOOP.
LOOP #I=1 TO !nbcases.
DO IF !1 eq #i.
   COMPUTE !concat(!1,d)(#I)=1.
END IF.
END LOOP.
exe.
!enddefine.

!d1 race gss1991.sav.
}}}