If your columns consist of strings, you can just use the + operator (addition in the context of strings is to concatenate them in python, and pandas follows this):
In [1]: import pandas as pd
In [2]: df = pd.DataFrame({'year':['2012', '2012'], 'month':['01', '02']})
In [3]: df
Out[3]:
month year
0 01 2012
1 02 2012
In [4]: df['concatenated'] = df['year'] + df['month']
In [5]: df
Out[5]:
month year concatenated
0 01 2012 201201
1 02 2012 201202
And then, if this column is created, you can just use set_index to change the index
In [6]: df = df.set_index('concatenated')
In [7]: df
Out[7]:
month year
concatenated
201201 01 2012
201202 02 2012
Note that pd.concat is not to 'concat'enate strings but to concatenate series/dataframes, so to add columns or rows of different dataframes or series together into one dataframe (not several rows/columns into one row/column). See http://pandas.pydata.org/pandas-docs/dev/merging.html for an extensive explanation of this.