Select Add New under the Indexes item on the WordPress admin menu
Enter a title for your index, select the page template to use, select the index style and adjust the index parameters as you want.
Select what it is you want to index and the terms to include.
Unless you have selected a text index, click the "Generate Thumbnails" button.
If you selected one of the "Preset Image" index styles, you'll need to select the images to use on your Primary Index. You do that on the Primary Thumbnails tab on the EasyIndex settings page (the link to the EasyIndex settings page is towards the bottom of the admin menu). If you didn't select one of the Preset Image index styles, you do not need to do this step.