I have many objects (such as 10.000, more or less). Every object has3 values :
and I need to perform some search due to the Index value. Which will be the light approch to this? List<MyObject>? I know there are hashtable, but only for 2 values...
I read these values from a .csv file and I'll store it on application. WebForm, .NET 4.5.
The very lightest approach in terms of memory use is to put these into a struct, and hold them in an array of such structs. From what you say, you can't really pack data any tighter than that: two doubles and a decimal will occupy 32 bytes per entry, and the array of structs does not add any per-item overhead on top of this.
Having said that, this will slow down your coding and might save too little to matter in practice.
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