Hopefully, I'm able to get solutions for every database server.

To have an outline of methods indexing works take a look at: http://stackoverflow.com/questions/1108/how-does-database-indexing-work

This is SQL92 standard so ought to be based on nearly all RDMBS which use SQL:

CREATE INDEX [index name] ON [table name] ( [column name] )

Sql Server 2005 provides you with a chance to specify a covering index. It is really an index which includes data using their company posts in the leaf level, so it's not necessary to return to the table to obtain posts that are not incorporated within the index secrets.

create nonclustered index myidx on my smalltable (mycol1 asc, mycol2 asc) include (my_col3)

This really is invaluable for any query which has mycol3 within the choose list, and mycol1 and my_col2 within the where clause.

@John Downey: I can not find CREATE INDEX during my copy from the SQL-92 spec, which is not surprising since the standard does not make presumptions about physical storage.

This appears just like a question that might be well clarified through the paperwork for that database server you may be using. For Oracle:

http://download.oracle.com/paperwork/compact disc/B28359_01/server.111/b28310/indexes003.htm