mysql - How to create an index for a large DB table

I've done many regular database queries in the past, but now I have a database of about 1.5 million entries and I need to be able to do a quick search for live update.

My database is all US zip code and canadian postal codes with longitute, latitude, city ... I need to be able to pull one single zip or postal code in a fraction of a second and send it back (with ajax) to the web page. Therefore when the user enter the postalcode/zip, the country, city and state/province fill in automaticly.

Currently I use the following query :

$sql = "SELECT  city, province, country 
  FROM postalcode
  WHERE PostalCode='$zip'";

I've never used an index before now. How could I create one and replace my query to get the same result?

(For extra points! : will the index be backed up with mysqldump?)

Thank You!

Answer

Finally I've created my index on the postal code directly from mySQL command line :

CREATE INDEX postal_index ON postalcode(postalcode);

My search for a code went from 4.89sec to 0.00 !!!!!!!