If you want to make a compound Primary Key (and I suspect that IS what you
were asking), the way Rick described is what you need to do.
However, if you already have a PK and you want a *separate* compound index,
you have to do something different.
Open the table in Design View. Click the Indexes button (it has a lightning
bolt on it). Go to the bottom of the list to a blank line and type a name
in the IndexName column. Then select a field to index. Now, on the next
line, choose another field WITHOUT giving it an index name. Do the same for
the last field. This will create a compound index.
If you select the first line in the index, you can set properties for the
index like: Unique or Ignore Nulls. If you click any other line in the
index, these options won't be available.