It depends on how the index will be used. An index wont get picked unless the first column(s) are used in a query. Suppose you put columns A, B and C in an index like so:
CREATE INDEX idxTest ON TestTable(A, B, C)
A query using column B or C (or both) will not use this index. Indexes are a tricky business to figure out. If the table does not get a lot of INSERTs, then you could consider adding multiple indexes (one on each column) and one or more multi-column indexes if needed.
Now, if you always join to this table on all 3 columns, then it would help to put all 3 in the index.
-ner