title: Pandas set_index does not set the index
body: <p>Say I create a pandas DataFrame with two columns, <code>b</code> (a DateTime) and <code>c</code> (an integer). Now I want to make a DatetimeIndex from the values in the first column (<code>b</code>):</p>
  
  <pre><code>import pandas as pd
  import datetime as dt
  
  a=[1371215423523845, 1371215500149460, 1371215500273673, 1371215500296504, 1371215515568529, 1371215531603530, 1371215576463339, 1371215579939113, 1371215731215054, 1371215756231343, 1371215756417484, 1371215756519690, 1371215756551645, 1371215756578979, 1371215770164647, 1371215820891387, 1371215821305584, 1371215824925723, 1371215878061146, 1371215878173401, 1371215890324572, 1371215898024253, 1371215926634930, 1371215933513122, 1371216018210826, 1371216080844727, 1371216080930036, 1371216098471787, 1371216111858392, 1371216326271516, 1371216326357836, 1371216445401635, 1371216445401635, 1371216481057049, 1371216496791894, 1371216514691786, 1371216540337354, 1371216592180666, 1371216592339578, 1371216605823474, 1371216610332627, 1371216623042903, 1371216624749566, 1371216630631179, 1371216654267672, 1371216714011662, 1371216783761738, 1371216783858402, 1371216783858402, 1371216783899118, 1371216976339169, 1371216976589850, 1371217028278777, 1371217028560770, 1371217170996479, 1371217176184425, 1371217176318245, 1371217190349372, 1371217190394753, 1371217272797618, 1371217340235667, 1371217340358197, 1371217340433146, 1371217340463797, 1371217340490876, 1371217363797722, 1371217363797722, 1371217363890678, 1371217363922929, 1371217523548405, 1371217523548405, 1371217551181926, 1371217551181926, 1371217551262975, 1371217652579855, 1371218091071955, 1371218295006690, 1371218370005139, 1371218370133637, 1371218370133637, 1371218370158096, 1371218370262823, 1371218414896836, 1371218415013417, 1371218415050485, 1371218415050485, 1371218504396524, 1371218504396524, 1371218504481537, 1371218504517462, 1371218586980079, 1371218719953887, 1371218720621245, 1371218738776732, 1371218937926310, 1371218954785466, 1371218985347070, 1371218985421615, 1371219039790991, 1371219171650043]
  b=[dt.datetime.fromtimestamp(t/1000000.) for t in a]
  c = {'b':b, 'c':a[:]}
  
  
  df = pd.DataFrame(c)
  df.set_index(pd.DatetimeIndex(df['b']))
  print df
  </code></pre>
  
  <p>Everything seems to work fine, except that when I print the DataFrame, it says that it has an Int64Index.</p>
  
  <pre><code>&lt;class 'pandas.core.frame.DataFrame'&gt;
  Int64Index: 100 entries, 0 to 99
  Data columns (total 2 columns):
  b    100  non-null values
  c    100  non-null values
  dtypes: datetime64[ns](1), int64(1)
  </code></pre>
  
  <p>Am I doing something wrong or do I not understand the concept of Indeces properly?</p>