set_index breaks depending on column name or number
I get a very strange behaviour with pandas current dev version (tagged as '0.9.0rc2') :
Calling set_index() on a DataFrame breaks depending on the columns name I use !!!

This code  fails :

``` python
df3 = DataFrame({
    '0001-INTERNAL_PRODUCT_CODE': {('A', 'A0006000', 'nuit'): 'A0006000'},
    '0004-PACKAGING_LANGUAGE_CODE': {('A', 'A0006000', 'nuit'): nan},
    '1050-LOCALISED_DESCRIPTION': {('A', 'A0006000', 'nuit'): nan},
    '0024-PRODUCT_BAR_CODED': {('A', 'A0006000', 'nuit'): nan},
    'Source system': {('A', 'A0006000', 'nuit'): 'A'}, 
    '0027-LOCAL_COMMERCIAL_AUTHORIZATION': {('A', 'A0006000', 'nuit'): nan},
})
df3.set_index(['0001-INTERNAL_PRODUCT_CODE', '1050-LOCALISED_DESCRIPTION']) # fails !
```

But If I change the indexed column names to 'a' and 'x', It works :

``` python
df3 = DataFrame({
    'a': {('A', 'A0006000', 'nuit'): 'A0006000'},
    '0004-PACKAGING_LANGUAGE_CODE': {('A', 'A0006000', 'nuit'): nan},
    'x': {('A', 'A0006000', 'nuit'): nan},
    '0024-PRODUCT_BAR_CODED': {('A', 'A0006000', 'nuit'): nan},
    'Source system': {('A', 'A0006000', 'nuit'): 'A'}, 
    '0027-LOCAL_COMMERCIAL_AUTHORIZATION': {('A', 'A0006000', 'nuit'): nan},
})
df3.set_index(['a', 'x']) # works !
```

At first I thought It was related to column name .... but If I keep my exotic column name and remove one column (one not used by set_index), it works !! :

``` python
df3 = DataFrame({
    '0001-INTERNAL_PRODUCT_CODE': {('A', 'A0006000', 'nuit'): 'A0006000'},
    '1050-LOCALISED_DESCRIPTION': {('A', 'A0006000', 'nuit'): nan},
    '0024-PRODUCT_BAR_CODED': {('A', 'A0006000', 'nuit'): nan},
    'Source system': {('A', 'A0006000', 'nuit'): 'A'}, 
    '0027-LOCAL_COMMERCIAL_AUTHORIZATION': {('A', 'A0006000', 'nuit'): nan},
})
df3.set_index(['0001-INTERNAL_PRODUCT_CODE', '1050-LOCALISED_DESCRIPTION']) # works !
```
