Without help, finding a row in a large table means scanning every row, which grows slower as data grows. An index is a separate, ordered structure that lets the database jump near the answer, much as a book's index points to pages without reading the whole book.
Indexes speed reads but cost space and slow writes, since each change must update the index too. Choosing which columns to index is a balance, guided by the queries that actually run, not by indexing everything on principle.