1) If any field in your table has "auto_increment" in the extras column, remove it
2) if there is a primary index, remove it
3) click the add index button
4) where it says "indexed columns", type the columns you want in your key, separated by comma
5) click add
We are aware that this procedure is somewhat awkward. There are plans to improve this interface.
A related issue/feature request is
http://spbug.com/480
Hope I could help,
Jakob Egger