It's not clear whether you're referring to a Table of Contents (which usually goes near the start of the document) or an Index (which usually goes near the end of the document). By default, a Table of Contents links to the content it references. An Index, however, cannot link to the content it references.

To implement a Table of Contents, the headings you want to appear there should have one of Word's Heading Styles applied. Creating the Table of Contents can then be as simple as going to References>Table of Contents and choosing a suitable format.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]