On the Toolbar click on Insert-Index & Tables. Note that you may have options as to the Style of the Index. If you wish to experiment with different styles, place the cursor inside the Index area and re-insert.
To see the actual Index codes, experiment with the "Hidden Text" checkbox, Field Codes, or Compatability Menu. But do things one at a time and set them back where they were or you will learn more than you ever wanted to about Word!