Should I create a nonclustered index on all searchable columns or just each column separately?

Question

I am not sure as to properly use non-clustered indexes. The SSMS plan estimator said to add another index when the following index was on the table already.

    CREATE NONCLUSTERED INDEX [ix_zone_fetch_shipping] ON [dbo].[tbl_shipping_rates_zones]
    (
        [iso] ASC, [mzone] ASC, [postal] ASC
    )
    INCLUDE
    (
        [region], [zone_dom], [zone_emi], [zone_pmi], [zone_fci],
        [zone_ups], [zone_fed]
    )

My query was

SELECT * FROM tbl_shipping_rates_zones WHERE postal = '10001'

My question is... should I be creating an index for all possible look up keys? I search by mzone, iso, and postal in different queries.

Thanks