Аналог PostgreSQL индекса SQL Server (включают столбцы),

CREATE INDEX myindex ON mytablename (co1l, col2, col3, col4)

PostgreSQL does not support clustered or covering indexes.

Update:

For this query, you'll need to create the suggested index indeed:

SELECT  this_.id as id0_0_,   
        this_.device_id as device2_0_0_,  
        this_.time_id as time3_0_0_,  
        this_.gps_detail_id as gps4_0_0_   
FROM    DataMessage this_   
WHERE   this_.time_id = 65536
        AND this_.device_id = 32768

CREATE INDEX ix_datamessage_time_device_id_detail ON datamessage (time_id, device_id, id, gps_detail_id)

However, your tables seem to be over-normalized to me.

You can keep year, month and day in a single INT field in your table. This will save you a join.

There might be the point of keeping DataMessage and GpsDetails in separate tables if either GpsDetails are rarely linked to the DataMessage (this is, gps_details_id is often set to NULL), or a GPS details record can be shared between multiple data messages.

It it's not, it will be better to move the GPS details into the data messages table.