An index is used to speed up searching in the database. An index can be used to efficiently find all rows matching some column in your query and then walk through only that subset of the table to find exact matches. If you don't have indexes on any column in the WHERE clause, the SQL server has to walk through the whole table and check every row to see if it matches, which may be a slow operation on big tables.
The index can also be a UNIQUE index, which means that you cannot have duplicate values in that column, or a PRIMARY KEY which in some storage engines defines where in the database file the value is stored.
