title: problem in setting index in pandas DataFrame
body: <p>I'm setting index for the given code as countries name but by using dataframe.set_index(index_name). I'm unable to update the index of the dataframe. I'm currently working on Python 3.7, why this code is not setting up the index?</p>
  
  <pre><code>import pandas as pd
  import numpy as np
  
  df1 = pd.DataFrame({'Country':['Nigeria','Bangladesh','China'],
                      'population':[89765,98744,654520],
                      'Birth_Rate':[23.54,34.43,20.3],
                      'Update_Date':['2016-01-18','2016-02-15','2016-02-03']},
                      columns = ['Country','population','Birth_Rate','Update_Date'])                                                        
  
  df2 = pd.DataFrame({'Country':['India','Sri Lanka','Dubai'],
                      'population':[98343,2453,57432],
                      'Birth_Rate':[33.54,44.44,23.3],
                      'Update_Date':['2016-01-18','2016-02-15','2016-02-03']},
                      columns =['Country','population','Birth_Rate','Update_Date']) 
  
  df3 = df2.append(df1)
  df3.set_index('Country')
  print(df3)
  </code></pre>
  
  <p>I'm expecting this as output:</p>
  
  <pre><code>      Country   population  Birth_Rate Update_Date
  0       India       98343       33.54  2016-01-18
  1   Sri Lanka        2453       44.44  2016-02-15
  2       Dubai       57432       23.30  2016-02-03
  0     Nigeria       89765       23.54  2016-01-18
  1  Bangladesh       98744       34.43  2016-02-15
  2       China      654520       20.30  2016-02-03
  
  but actual output is:
              population  Birth_Rate   Update_Date
  Country    
   India       98343       33.54      2016-01-18                               
   Sri Lanka   2453        44.44      2016-02-15
   Dubai       57432       23.30      2016-02-03
   Nigeria     89765       23.54      2016-01-18
   Bangladesh  98744       34.43      2016-02-15
   China       654520      20.30      2016-02-03
  </code></pre>