df = pd.DataFrame({'month': [1, 4, 7, 10],
'year': [2012, 2014, 2013, 2014],
'sale': [55, 40, 84, 31]})
df.set_index('month')
# method A
df = df.set_index('col')
# method B
df['col'] = df.index
import pandas as pd
# Set column as index
df = df.set_index("column")
# Display DataFrame
print(df)