You can use Xindy instead of MakeIndex to get the desired output. But first you have to set up your editor (Kile) for that. Go to menu Options → Configure Kile and in the tree on the left go to Tools → Build and then select MakeIndex. In the upper right corner choose Xindy from the drop down menu (see screen capture).

Note that my system is German and the names on your system for sure will differ. But this should give you the necessary orientation.
Now you can slightly modify your code example and prepare it for use with Xindy.
\documentclass[11pt]{article}
\usepackage[T1]{fontenc}
\usepackage[xindy]{imakeidx}
\makeindex
\begin{document}
All\index{All}, Apple\index{Apple}, Ball\index{Ball}, Small\index{Small}, Zoo\index{Zoo}
\printindex
\end{document}

\makeindex
. You have to setup your editor for use with Xindy. Your code example will (almost) be left untouched. I provided an answer that might help.