>>>> open workbook

>>>> pres alt+F11

>> insert module
>> run

===========================
Sub CreateIndex()
'updateby Extendoffice 20150914
Dim xAlerts As Boolean
Dim I As Long
Dim xShtIndex As Worksheet
Dim xSht As Variant
xAlerts = Application.DisplayAlerts
Application.DisplayAlerts = False
On Error Resume Next
Sheets("Index").Delete
On Error GoTo 0
Set xShtIndex = Sheets.Add(Sheets(1))
xShtIndex.Name = "Index"
I = 1
Cells(1, 1).Value = "INDEX"
For Each xSht In ThisWorkbook.Sheets
If xSht.Name <> "Index" Then
I = I + 1
xShtIndex.Hyperlinks.Add Cells(I, 1), "", "'" & xSht.Name & "'!A1", ,
xSht.Name
End If
Next
Application.DisplayAlerts = xAlerts
End Sub