ERR: raise when index_col=True is passed
closes #9798 

Add a check to see whether the `index_col` is `True`.

I moved it to TextFileReader in the `_clean_options`
 ok, pls squash, then looks good to go. ping me when green.
 hi @jreback , I've squashed the commits, and it's green now. could u take a look on it?
 @bottleimp thanks!
