After you start Search Companion (Start -> Search), Click on the Change Preferences option in the left pane.

If you haven't turned Indexing Service on, the second option would say "With Indexing Service".

Click it to turn it on - and verify the option changes as shown on screen shot to right.

Note: Once you turn Index Server ON, it will take some time before the index is created. Index Server runs automatically when your system is otherwise idle, so how long depends upon how you use your system. 

In order for the index to remain updated, it's a good idea to leave the computer on unattended overnight, or at least for a couple of hours, on a regular basis. You can check the status of the index - see Checking & Managing Index Server.