You didn't specify what database system you're using - those kinds of things are always very vendor specific.
Here's my know-how that applies to SQL Server:
first of all, an index in SQL Server can only have at most 900 bytes in its index entry. That alone makes it impossible to have an index with all columns.
Most of all: such an index makes no sense at all. What are you trying to achieve??
Consider this: if you have an index on (LastName, FirstName, Street, City), that index will not be able to be used to speed up queries on
FirstName aloneCityStreet
That index would be useful for searches on
(LastName), or (LastName, FirstName), or (LastName, FirstName, Street), or (LastName, FirstName, Street, City)
but really nothing else - certainly not if you search for just Street or just City!
The order of the columns in your index makes quite a difference, and the query optimizer can't just use any column somewhere in the middle of an index for lookups.
Consider your phone book: it's order probably by LastName, FirstName, maybe Street. So does that indexing help you find all "Joe's" in your city? All people living on "Main Street" ?? No - you can lookup by LastName first - then you get more specific inside that set of data. Just having an index over everything doesn't help speed up searching for all columns at all.
If you want to be able to search by Street - you need to add a separate index on (Street) (and possibly another column or two that make sense).
If you want to be able to search by Occupation or whatever else - you need another specific index for that.
Just because your column exists in an index doesn't mean that'll speed up all searches for that column!
The main rule is: use as few indices as possible - too many indices can be even worse for a system than having no indices at all.... build your system, monitor its performance, and find those queries that cost the most - then optimize these, e.g. by adding indices.
Don't just blindly index every column just because you can - this is a guarantee for lousy system performance - any index also requires maintenance and upkeep, so the more indices you have, the more your INSERT, UPDATE and DELETE operations will suffer (get slower) since all those indices need to be updated.
