The final paragraph of section 6.6.5 of the User's Guide ends "For more
advanced tasks you have to set up a so-called Index Style File, see the
makeindex or xindy documentation for details, [makeindex, xindy]."
Section 6.6.6 also cites the same source. The citation is to
http://mirrors.ctan.org/indexing/makeindex/doc/makeindex.pdf
I think it should be to
http://mirrors.ctan.org/indexing/makeindex/doc/manpages.dvi
makeindex.pdf nowhere discusses style files or command line options
(it's really the same material as is in the User's Guide). For style
files and command line options you need to go to manpages.dvi.
Andrew