Think of an index similar to a card catalog in the library. An index keeps you from having to search through every isle or shelf for a book. Instead, you may be able to find the items you want from a commonly used field, such as and ID, Name, etc. When you build an index the database basically creates something separate that a query could hit to rather than scanning the entire table. You speed up the query by allowing it to search a smaller subset of data, or an optimized set of data.
