I can give you a basic lesson in indexing, but you may want to search for a more complete source on line or in a book.
Start by going to Window>Index to bring up the index pallet.
If you move the mouse over parts of the index for a few seconds, a pop-up will tell you the name of the button or field. You have to tag words that you want to appear in the index. An easy way to do this is to select a word you want to index with the text selection tool and click the add button in the index pallet. That will add small red brackets around the word, telling you that the word is tagged. The brackets will not print, and you will only see them while the index pallet is open. If you want to index the word every time it appears in the document, you can click the add all button.
If you want to add some but not all of the occurrences, you can either add all of them and take some out, or add them one at a time. To take some out, click the triangle to the left of the word in the index pallet to open it up and show each occurrence. If you double-click one, it will take you to the page where the word is, and you can decide if you want it or not. If you don't, you can click the trash button in the index pallet. If you want to keep it and move on to the next word, you can double-click the next entry, or click the Find Next Entry button in the index pallet.
The other way is to add only the first instance of the word, then use Edit>Find/Change to find each instance one at a time. If you want to add it to the index, click on the word in the index pallet to make it active, then when you hit the add button, it will add it to the entry you have selected, instead of making a separate entry. If you don't want to add that instance of the word, just hit the Find Next button in the Find/Change window to go on.
After you have tagged all of the words you want in the list, go to Utilities>Build Index to bring up the Build Index pallet:
You will need a master page with an automatic text box to build an index. If you don't have one, make a new master page, add a text box, and use the text link tool to link the master link icon (looks like a chain) to the text box. If you have facing pages, don't link the text boxes together, but instead, link the master link icon of each page only to the text box on that same master page.
In the Build Index window, you can pick the type of index you want (nested or run-in), whether you want letter names as headdings, which master page the index will be built from, and which paragraph styles you want the index to be built with. Each time you run the Build Index command, it will replace the old one, so you can make a basic index, then decide what styles it should use and when you build it again, tell it to use those styles and it will.
This should get you started, but I can't tell you everything about indexing on a forum. Post back if this is unclear, and sorry that I can't tell you in Italian.