Creating an Index Sheet by Hand

You might be tempted to simply create the index by hand.
Create a new worksheet, call it Index or the like, enter a list of all your worksheets' names, and hyperlink each to the appropriate sheet by selecting Insert → Hyperlink under Link options (pre-2007, Insert → Hyperlink...) or by pressing Ctrl-K.

Although this method is probably sufficient for limited instances in which you don't have too many sheets and they won't change often, you'll be stuck maintaining your index by hand.