documentclass{memoir}
usepackage[utf8]{inputenc}
usepackage[T1,T2A]{fontenc}
usepackage[main=russian]{babel}
usepackage{lipsum}
usepackage{makeidx}
makeindex
begin{document}
lipsum[1]

index{жзи}

clearpage
lipsum[2]

index{где}

clearpage
lipsum[3]

index{абв}

printindex
end{document}