No, indexes can be applied to any column or set of columns under 900 bytes wide in total.
http://www.sqlservercentral.com/articles/Indexing/68439/
http://www.sqlservercentral.com/articles/Indexing/68563/
http://www.sqlservercentral.com/articles/Indexing/68636/
Your index likely isn't covering, hence it's more efficient to just scan the table.
http://sqlinthewild.co.za/index.php/2009/01/09/seek-or-scan/
Gail Shaw
Microsoft Certified Master: SQL Server, MVP, M.Sc (Comp Sci)
SQL In The Wild: Discussions on DB performance with occasional diversions into recoverability