Indexes in SQL Server are similar to the indexes in books. They help SQL Server retrieve the data quicker.
Indexes are of two types. Clustered indexes and non-clustered indexes. When you craete a clustered index on a table, all the rows in the table are stored in the order of the clustered index key. So, there can be only one clustered index per table.
When queries are run against a db, an index on that db basically helps in the way the data is sorted to process the query for faster and data retrievals are much faster when we have an index.