Since you are using "select *", the given index will not be considered as a covering index. In that case, and given the absence of any alternate indexes, it should run in just about the same time. The query plans will look very similar.
If there is no covering index, there will necessarily be a bookmark lookup (I think this changed to a join in 2005). Add more steps, and you are bound to need more time. Look over the query plans, and see for yourself.