Sounds like you've lost the hotkey somehow.

Select Tools Customize from the Menu
Press Keyboard...
In the left hand list, "Categories", select "All Commands"
Scroll down the right hand list, "Commands", and select "MarkIndexEntry"
It should show "Alt+Shift+X" under "Current keys"
If it doesn't, click in the "Press New Shortcut" box
Press Alt+Shift+X
"Alt+Shift+X" will now appear in the box.
Press "Assign" and it will be added to the "Current Keys" box
Press Close to close the keyboard dialog
Press Close to close the customize dialog

Try adding your index entry again.

--
Enjoy,
Tony


"Strategist" wrote in message
...
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?