I am trying to create an index in Word (2003 SP1), for the first time. The
help instructions tell me:
1. To use existing text as an index entry, select the text. To enter your
own text as an index entry, click where you want to insert the index entry.
2. Press ALT+SHIFT+X.

When I do this, no dialoge box appears for me to continue the process. I
have closed and relaunched Word to no avail.

What can I try next?