It is not clear what you want to achieve. To insert the problem number a possibility would be to create a macro (assuming that a problem counter exists)
\newcommand*{\Tindex}[1]{\index{#1 \arabic{problem}}}
A second possibility is to create an index of topics and problems. This can be done using the index package. Here is an example of how to use it (for the documentation of the package use texdoc index)
\documentclass{article}
\usepackage{index}
\newindex[theproblem]*{topics}{pdx}{pnd}{Topics in Problems Index}
\newcounter{problem}
\begin{document}
\setcounter{problem}{1}
\index[topics]{First}First
\newpage
\index[topics]{Second}Second
\setcounter{problem}{2}
\index[topics]{Third}Third
\index[topics]{First}First
\printindex[topics]
\end{document}
Then run
makeindex -o file.pnd file.pdx
where file is the name of the LaTeX source file.
glossariespackage is what you're looking for. – egreg Jan 1 at 13:28