set_index doesn't like non zero-starting initial indeces
It seems unless a DataFrame is completely fresh and it's index hasn't been manipulated in anyway ( such as being a result of a group by ) then set_index() doesn't quite work.

```
In [1]: import pandas

In [2]: pandas.__version__
Out[2]: '0.8.0'

In [3]: df = pandas.DataFrame([ {'val':0,'key':'a'},{'val':1,'key':'b'},{'val':2,'key':'c'} ] )

In [4]: df
Out[4]:
  key  val
0   a    0
1   b    1
2   c    2

In [5]: df.set_index('key')
Out[5]:
     val
key
a      0
b      1
c      2

In [6]: df2 = df.select(lambda indx:indx>=1)

In [8]: df2
Out[8]:
  key  val
1   b    1
2   c    2
```

so far so good

```
In [9]: df2.set_index('key')
---------------------------------------------------------------------------
KeyError                                  Traceback (most recent call last)
<ipython-input-9-366937e9485c> in <module>()
----> 1 df2.set_index('key')

c:\python27\lib\site-packages\pandas\core\frame.pyc in set_index(self, keys, dro
p, inplace, verify_integrity)
   2306             arrays.append(level)
   2307
-> 2308         index = MultiIndex.from_arrays(arrays, names=keys)
   2309
   2310         if verify_integrity and not index.is_unique:

c:\python27\lib\site-packages\pandas\core\index.pyc in from_arrays(cls, arrays,
sortorder, names)
   1504         if len(arrays) == 1:
   1505             name = None if names is None else names[0]
-> 1506             return Index(arrays[0], name=name)
   1507
   1508         cats = [Categorical.from_array(arr) for arr in arrays]

c:\python27\lib\site-packages\pandas\core\index.pyc in __new__(cls, data, dtype,
 copy, name)
    102         if dtype is None:
    103             if (lib.is_datetime_array(subarr)
--> 104                 or lib.is_datetime64_array(subarr)
    105                 or lib.is_timestamp_array(subarr)):
    106                 from pandas.tseries.index import DatetimeIndex

c:\python27\lib\site-packages\pandas\lib.pyd in pandas.lib.is_datetime64_array (
pandas\src\tseries.c:90487)()

c:\python27\lib\site-packages\pandas\core\series.pyc in __getitem__(self, key)
    427     def __getitem__(self, key):
    428         try:
--> 429             return self.index.get_value(self, key)
    430         except InvalidIndexError:
    431             pass

c:\python27\lib\site-packages\pandas\core\index.pyc in get_value(self, series, k
ey)
    639         """
    640         try:
--> 641             return self._engine.get_value(series, key)
    642         except KeyError, e1:
    643             if len(self) > 0 and self.inferred_type == 'integer':

c:\python27\lib\site-packages\pandas\lib.pyd in pandas.lib.IndexEngine.get_value
 (pandas\src\tseries.c:104257)()

c:\python27\lib\site-packages\pandas\lib.pyd in pandas.lib.IndexEngine.get_value
 (pandas\src\tseries.c:104085)()

c:\python27\lib\site-packages\pandas\lib.pyd in pandas.lib.IndexEngine.get_loc (
pandas\src\tseries.c:104794)()

c:\python27\lib\site-packages\pandas\lib.pyd in pandas.lib.Int64HashTable.get_it
em (pandas\src\tseries.c:15561)()

c:\python27\lib\site-packages\pandas\lib.pyd in pandas.lib.Int64HashTable.get_it
em (pandas\src\tseries.c:15515)()

KeyError: 0L    
```
