df.set_index() fails for MultiIndex columns
``` python
In [20]: columns = pandas.MultiIndex.from_tuples([('foo', 1), ('foo', 2), ('bar', 1)])

In [21]: df = pandas.DataFrame(np.random.randint(0, 10, (3,3)), columns=columns)

In [22]: df
Out[22]: 
   foo     bar
     1  2    1
0    0  5    0
1    5  6    6
2    5  1    6

In [23]: df.set_index(df.columns[0])
---------------------------------------------------------------------------
KeyError                                  Traceback (most recent call last)

```
