Accept index in addition to list for set_index 
Running this code generates an error, since columns are now considered an Index and not a list. I'm not sure if the error that gets raised (set_index ends up asking for an index that is the entire length of the data frame) is actually by design. In this case, it was a bit unintuitive to figure out how to catch, since Index objects and python lists often work so similarly.

```
import string
import pandas as pd

data1 = 'x'*5 + 'y'*5
data2 = string.lowercase[:5]*2
data3 = range(10)
data_dict = {'Cat': list(data1), 'SubCat': list(data2), 'Vals':data3}
df = pd.DataFrame(data_dict)
ordered_df = df[['Cat', 'SubCat', 'Vals']]

correct_df = ordered_df.reset_index([x for x in ordered_df.columns[:2]])
error_df = ordered_df.set_index(ordered_df.columns[:2])
```
