When there's not a clustered index on a table and a query is performed against it, a full table-scan will be needed as SQL Server has no idea of the order of the rows on the physical data pages. Regardless if all the rows in the result are found on the 1st page, SQL Server is unaware of this as there isn't a specific ordering (clustered index) for how the rows will be physically stored inside the database. Thus, it will check every page before returning a result-set. Here's the wikipedia definition of a full-table scan:
Full table scan (also known as sequential scan) is a scan made on the database where each row of the table under scan is read in a sequential (serial) order and the columns encountered are checked for the validity of a condition. Full table scans are usually the slowest method of scanning a table due to the heavy amount of I/O reads and writes required from the disk which consists of multiple seeks as well as costly disk to memory transfers. Sequential scan takes place usually when, the column or group of columns of a table (the table may be on disk or may be an intermediate table created by the join of two or more tables) needed for the scan do not contain an index which can be used for the purpose
By having a clustered index on the table, as rows are inserted they're physically being stored (on the data pages) in order according to the clustered index. For example, when a query is performed on the table that's using the clustered index column within the "where" clause, SQL Server is able to look-up the physical location of each of the rows (similar to an index inside of a book) and know the location(s) of every record that meets the specified criteria. Because of this there's no need to perform a full table scan since SQL Server knows the location of all the records for the clustered index and is able to go directly to the data page(s) where the information is stored.
I apologize the information above isn't entirely accurate as I'm not well versed in the internals of clustered/nonclustered indexes. As I mentioned in my previous post, the Stairway articles explain this very well and can help with most of the questions on indexes you may have. I hope it helps. :-D