This part of the wizard is only seen when you process a file for printing. This option, intended exclusively for use with Word for Windows, produces a manual-style index at the end of the document similar in format to the example shown on the dialog.
This index consists of all keywords created by the author of the original file. You can see this list of keywords by opening the original file and pressing the Search button.
Some helpfiles include minimal keyword lists or no keywords at all, so don't be alarmed if your output document doesn't include an index or the index is only one or two words. In cases like these you can safely erase the index from the document prior to printing.
Editing the document prior to printing should not have an effect on the page numbering in the index, since the index uses special fields in the document which should update automatically. However, as added insurance you may wish to save and reopen an edited document prior to printing to insure correct index page number references.