I believe the de facto standard is that a hyphenated name is treated as one unit, and a non-hyphenated name is not.  For instance, Harriet Beecher Stowe would be listed under "S", and Daniel Day-Lewis would be under "D".  Someone who calls herself "Cane-Rogers" instead of "Cane Rogers" may be aware of this as well, and may have adopted the hyphenated version because she wanted to be under "C" instead of "R".  So you need to find out what the prevailing standard is in your business or locality and set up your database accordingly.