Index files are used to store files that share data without wasting space.
Certain types of files are often very similar to each other, like two characters sharing a 3D model, but with different textures and animations. Instead of storing copies of the shared data in each file, index files just have a list of indices, which point to where the actual data is stored.
These indices include a file name and a number (or list of numbers). The file name refers to an archive file, and the number(s) refer to files within that archive. Usually, each index file uses the same table file for all indices.
Index files save a ton of space, but they're pretty annoying to work with, since you have to jump between mulitple files to see all the data.