the exact syntax depends on your database, but generally the SQL standard format is something like:
create index index_name on table_name (col1);
for single column indexes, and
create index index_name on table_name (col1, col2, coln);
for a unique index (one that forces the column or combination of columns being indexed to be unique) would add the unique keyword:
create unique index index_name on table (col1);
Note that on postgresql there are a few extensions to normal indexes, like this, a functional index:
create index index_name on table (lower(name));
Or this, a partial index, useful when you only want to index a portion of a table:
create index index_name on table (col1, col2) where col3='y';
This index would get used in a query like this:
select * from table where col3='y' order by col1, col2;