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Making an index is not trivial; what to index, and how to index it, is
difficult to decide, and uniform implementation is difficult to
achieve.  You will need to mark all items to be indexed in your text
(typically with \index commands).
It is not practical to sort
a large index within TeX, so a post-processing program is used to sort
the output of one TeX run, to be included into the document at the
next run.
The following programs are available:
- makeindex
 - for LaTeX under Unix (but runs under other OSs
  without changes).  Available in indexing/makeindex; a version for
  the Macintosh is available as systems/mac/macmakeindex.sit, and ones for
  MS-DOS are part of the emTeX and gTeX distributions (the
  emTeX version also runs under OS/2).
  The Makeindex documentation is a good source of information on how
  to create your own index. Makeindex can be used with some TeX
  macro packages other than LaTeX, such as 
  Eplain, and \TeXsis{}, macros/texsis
  (whose macros, macros/texsis/index/index.tex, can be used independently
  with plain).
 - idxtex
 - for LaTeX under VMS.  Available (together with a
  glossary-maker called 
glotex) in indexing/glo+idxtex
 - texindex
 - A witty little shell/sed-script-based
  utility for LaTeX under Unix.  Available from support/texindex
  There are other programs called texindex, notably
  one that comes with the
  Texinfo distribution.
 - xindy
 - a recent development, designed for wide-ranging
  flexibility (including support for multilingual indexes), based on
  Common Lisp.  The system is available on CTAN
  (\CTAN{support/xindy}), but is more easily accessed from a web
  browser via http://www.iti.informatik.th-darmstadt.de/xindy/
  since the distribution contains several different implementations.
 
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