In a typical index, the database uses the index to look up the primary key, which it then uses to look up the row in the original table. Two lookups.
If you only need a small subset of fields, you can save a lookup by creating a compound index that includes those fields.
An index is considered a covering index in the context of a SELECT statement that requires only the "covered" fields. Thus, the CityName, Country index covers the following SQL statement:
SELECT CityName, Country FROM City WHERE CityName = 'Berlin'
A covering index saves a lookup.