To create a clustered or non-clustered index for a SQL Server table, see 'Our Recommended Articles' to the right of this thread. You can then use the index in a query.
The .NET DataTable doesn't have the concept of an index though, internally, an index will probably be built on the PrimaryKey.
However, you can create a DataView for a DataTable and then set its Sort property to the name of the column or columns on which you wish to sort. You can also sort in ascending (the default) or descending order.