Error! No index entries found.

I am trying to create index in MS Word but I get the following error and can anybody help me define index entries.

Thanks in advance.

The way to mark entries for your index can be tiresome but you should use

Insert Menu > Reference > Index and Tables

Use the Index tab where you should see Mark Entry Button to mark and entry for your Index.

Apart from this ideally you should be using Automark files to mark entries for index.

An AutoMark file allows you to specify words you want to mark and Word scans the document to mark index entries from a document.