There are two basic steps to doing it.
The first is "marking" the text to be included in the index and the second is creating the index itself.
Go to the top of your document and select a word or phrase you want to appear in the index. While selected, chose the Insert > Reference > Index and Tables... menu option. This will open a little panel. Make sure the Index tab is selected and then press Mark Text. This will open another form called Mark Index Entry. This form will stay up while you're "marking" your text.
The Mark Index form should have your selection already entered in the Main Entry field. Press either Mark or Mark All to add those items into the Index. (Mark all will select all occurances of the highlighted text.)
Now go find another word/phrase you want to index, highlite it, and then click on the Mark Index form. Your selection again will appear in the main entry. Again, hit Mark or Mark all.
Continue doing the above until all of your items are selected. When done, press the Close button on the Mark Index form. You can stop at any time and add more later by following the steps above.
Go to the bottom of your document and add a blank page (CTRL-Enter). press Enter a couple of times to move down the page, and then select Insert > Reference > Index and tables... This will open the little panel again. Make sure the index tabl is selected and press OK. This will put the index with all of your marked items on the page.
If you add (mark) more items for your index after creating the actual index, just right-click on the index itself and select update field to have it add the new items.
Hope this helps.