Why don't you simply use set_index method?
In : col = ['a','b','c']
In : data = DataFrame([[1,2,3],[10,11,12],[20,21,22]],columns=col)
In : data
Out:
a b c
0 1 2 3
1 10 11 12
2 20 21 22
In : data2 = data.set_index('a')
In : data2
Out:
b c
a
1 2 3
10 11 12
20 21 22