You can't add a index to a nvarchar(max) or varchar(max) column but it can be part of an index.
You can include it in an index but then that index needs to created/rebuilt offline.
Taking a guess from your column name 'Username' I would change the column type to something smaller like a nvarchar(50). The nvarchar(max) datatype can store up to 4Gb of text and is used for more full text storage (in that use you would setup full text searching).