The Index file

The index (.hhk) file is an HTML file that contains the index entries (keywords) for your index. When a user opens the index in a compiled help file, or on a Web page, and clicks a keyword, the HTML file associated with the keyword will open.

Note
In most cases you will have only one index file in your help project. The index file is automatically created when you make a new help project using the Help Project Wizard .
About creating help