GroupBy on a MultiIndex with the index causes python to stop working
If you try following piece of code, my python process crashes:

```
df = pd.DataFrame({'A':[1,1,2], 'B':[1,2,1], 'C':[1,2,3]})
df = df.set_index(['A', 'B'])
df.index.groupby(df.index)
```

I know this code is as such probably bullshit (I also did it by accident, the first index shouldn't have been there :-)), but still it should then generate a Error Message instead of causing python to stop?

BTW `pd.Index.groupby` is a publicly available, but not really clear what is does or is meant for.
