hyphens in index entries

Question

If I write:

\index{axioms!Zermelo–Fraenkel}

LaTeX generates

axioms, 184
    ZermeloFraenkel, 203, 208

How do I stop the hyphen from disappearing?

EDIT: MWE...

\documentclass{article}
\usepackage{makeidx}
\makeindex

\begin{document}
\printindex
\index{axioms!Zermelo–Fraenkel}axioms
\end{document}

(also (MiKTeX version 2.9); compiled via WinEdt's pdftexify option)

Answer 1

You're using the "en-dash" character, Unicode U+2013, without setting the input to interpret Unicode as UTF-8. This is different from a hyphen.

By compiling your code, the contents of the .idx file is

\indexentry{axioms!Zermelo<E2><80><93>Fraenkel}{2}

where I use the "byte" representation for non ASCII (0-127) characters. The .ind file contains

\begin{theindex}

  \item axioms
    \subitem Zermelo<E2><80><93>Fraenkel, 1

\end{theindex}

and, not so surprisingly, the .log file reports

 (./mohan.ind
Missing character: There is no <E2> in font cmr10!
Missing character: There is no <80> in font cmr10!
Missing character: There is no <93> in font cmr10!

Adding \usepackage[utf8]{inputenc} corrects the problem:

Answer 2

Seems to be a code problem with your given - in your code snippet.

The following MWE compiles without problems (errors and warnings) on my system and gives the print you want:

%http://tex.stackexchange.com/questions/75242/hyphens-in-index-entries
\documentclass{book}

\usepackage{makeidx}   % load package
\makeindex             % make file(s) *.idx

\begin{document}
Test\index{Test} Text\index{Text|textbf} 
test\index{axioms!Zermelo-Fraenkel} % - should be printed

\printindex            % print index here
\end{document}

(MiKTeX version 2.9)