You need an index.xml file at the top-level directory of your Help system. It should look something like this:
<?xml version="1.0" encoding="UTF-8"?>
<index>
<entry title="chm" url="introduction.html"/>
<entry title="CloseHelpX" url="reference/closehelpx.html"/>
<entry title="CloseHelpX" url="introduction.html"/>
<entry title="contents.xml" url="reference/contentsxml.html"/>
<entry title="Cross platform" url="introduction.html"/>
<entry title="Help path" url="reference/openhelpx.html"/>
<entry title="index.xml" url="reference/indexxml.html"/>
<entry title="Linux" url="about.html"/>
<entry title="Mac" url="about.html"/>
<entry title="OpenHelp" url="introduction.html"/>
<entry title="OpenHelpX" url="reference/openhelpx.html"/>
<entry title="OpenHelpX" url="introduction.html"/>
<entry title=".pbi" url="usingmodulefile.html"/>
<entry title="PureBasic project" url="usingmodulefile.html"/>
<entry title="PureBasic project" url="about.html"/>
<entry title="sub-directory" url="reference/contentsxml.html"/>
<entry title="topic" url="reference/openhelpx.html"/>
<entry title="UseModule" url="usingmodulefile.html"/>
<entry title="WebGadget" url="about.html"/>
<entry title="WebGadget" url="writinghelp.html"/>
<entry title="Windows" url="about.html"/>
<entry title="XIncludeFile" url="usingmodulefile.html"/>
<entry title="XML" url="writinghelp.html"/>
<entry title="XML" url="reference/contentsxml.html"/>
<entry title="XML" url="reference/indexxml.html"/>
</index>
You can put as much or as little in this as you like!