# assignment copy
df = df.set_index('month')

# or inplace
df.set_index('month', inplace=True)

#      year   sale  month            month  year   sale
#  0   2012   55    1                1      2012   55
#  1   2014   40    4       =>       4      2014   40
#  2   2013   84    7                7      2013   84
#  3   2014   31    10               10     2014   31