parsing excel with index_col set fails with openpyxl
Steps to reproduce:

```
>>> excel = pandas.io.parsers.ExcelFile("BELA FM Screning Test data (2nd Batch)_KMA.xlsx")
```

This works

```
>>> bw = excel.parse("BW_clean")
```

but this fails

```
>>> bw = excel.parse("BW_clean",index_col=0)
---------------------------------------------------------------------------
TypeError                                 Traceback (most recent call last)
/Users/maye/Dropbox/DDocuments/BELA/apd/<ipython-input-20-ee78800ab5e1> in <module>()
----> 1 bw = excel.parse("BW_clean",index_col=0)

/Users/maye/Library/Python/2.7/site-packages/pandas/io/parsers.pyc in parse(self, sheetname, header, skiprows, index_col, parse_dates, date_parser, na_values, chunksize)
609                                     parse_dates=parse_dates,
610                                     date_parser=date_parser,
--> 611                                     na_values=na_values, chunksize=chunksize)
612         else:
613             return self._parse_xls(sheetname, header=header, skiprows=skiprows,

/Users/maye/Library/Python/2.7/site-packages/pandas/io/parsers.pyc in _parse_xlsx(self, sheetname, header, skiprows, index_col, parse_dates, date_parser, na_values, chunksize)
635                             date_parser=date_parser,
636                             skiprows=skiprows,
--> 637                             chunksize=chunksize)
638 
639         return parser.get_chunk()

/Users/maye/Library/Python/2.7/site-packages/pandas/io/parsers.pyc in __init__(self, f, delimiter, names, header, index_col, na_values, parse_dates, date_parser, chunksize, skiprows, skip_footer, converters, verbose, encoding)
249             self.data = f
250         self.columns = self._infer_columns()
--> 251         self.index_name = self._get_index_name()
252         self._first_chunk = True
253 

/Users/maye/Library/Python/2.7/site-packages/pandas/io/parsers.pyc in _get_index_name(self)
394         elif np.isscalar(self.index_col):
395             index_name = columns.pop(self.index_col)
--> 396             if 'Unnamed' in index_name:
397                 index_name = None
398         elif self.index_col is not None:

TypeError: argument of type 'NoneType' is not iterable
```

I then checked if maybe the excel file is broken by saving it as xls, but THEN it works:

```
>>> excel = pandas.io.parsers.ExcelFile("BELA FM Screning Test data (2nd Batch)_KMA.xls") 
>>> bw = excel.parse("BW_clean",index_col=0)

Out[25]: Index([25.0, 15.0, 10.0, 5.0, 0.0], dtype=object)
```

Therefore I induce that it's a problem with how openpyxl is used.
Regards,
Michael
