Concatenate Columns as Index in Pandas

I am importing a text file into pandas, and would like to concatenate 3 of the columns from the file to make the index.

I am open to doing this in 1 or more steps. I can either do the conversion at the same time I create the DataFrame, or I can create the DataFrame and restructure it with the newly created column. Knowing how to do this both ways would be the most helpful for me.

I would eventually like the index to be value of concatenating the values in the first 3 columns.