From the Index Editor, you can create, alter and drop indices.
Again, depending on the database engine capabilities, you will have a different user interface, however the "left-right" interface will always be available. On the left, you have the available columns (usually all non-computed columns in a table) and on the right, the indexed columns, first indexed column at the top.
Below is an example from the InterBase Index Editor:
The InterBase Index Editor
In order to create a new index, you first need to select a table from the drop down box.
Double clicking a column or using the arrow buttons will move the column to the other side, making the column indexed or non-indexed.