@Italophile: That error message pops up when you try to insert a TOC and it is not finding anything to list.

@Graham: Can you attach a sample file with the problem and at least one of the headings? Directions: Attach a Sample File Demonstrating the Problem - Here's How

As Italophile implied, the TOC, in Word, is a field. It is possible to create such a field that will not look at these headings, but the defaults certainly do.


References:

• How to create a table of contents in Microsoft Word by Shauna Kelly
• TOC Tips and Tricks by Suzanne Barnhill, MVP
• Generating a Table of Contents (in one of my pages - covers some things not in the others but the others are better IMO)
• Dealing with Fields in Microsoft Word