Indices are created in an existing table to locate rows more quickly and efficiently. It is possible to create an index on one or more columns of a table, and each index is given a name. The users cannot see the indexes, they are just used to speed up queries.
Basically, your DBMS will create some sort of tree structure which points to the data (from one column) in a sorted manner. This way it is easier to search for data on that column(s).
http://en.wikipedia.org/wiki/Index_(database)
