You move the mouse pointer to the end of the word processor file, create a page break and then have the word processor program use its own index function. For example in Word, select Insert > Indexes and Tables. Word will show you what options are available in the index it creates.
Since PAF doesn't know what word processor a particular user may have, it has to rely on the word processor to build the index. Fortunately, that only takes a minute or so.