AFAIK, the Index feature is only available if the book publisher added an Index guide item (and the corresponding content) to a .mobi book. I.e., you'll have to create an index .html page and add a reference to it in the guide section of the .opf file. For example:
PHP Code:
<guide>
<!-- more guide items-->
<reference type="index" title="Index" href="Index.xhtml"/>
<!-- more guide items-->
</guide>