Select highest gear on the rear mech (smallest sprocket) remove gear cable.
Set lower limit by turning the pedals and pushing the mech towards the wheel onto the lowest gear (biggest cog) adjust the lower limit screw until the chain runs smoothly without either trying to jump into the wheel or trying to move down to next cog.
once this is set, let the mech come down onto the highest gear (smallest cog) and set the high limit screw so that the chain doesnt try to move onto the frame or up to the next cog. In either position the derailleur should be sat directly below the cog, in the case of Shimano some recommend it should be about a half to 1mm to the left, but its about trial and error.
That is high and low limits set.
With the mech in the highest gear (smallest cog) screw the barrel adjuster fully in (clockwise), then reconnect the cable to the mech, pull it finger tight and tighten the screw back up.
To index them, make sure that the chain is running smooth in the highest gear (smallest cog), and whilst running select the next gear up the cassette, the chain will either do nothing, or may try to change to the next gear, in either case screw the barrel adjuster out (anti clockwise until the chain moves into the next gear, and keep turning a bit at a time until it runs smooth in that gear, once you have achieved this it should change up and down without any fuss through the full range of gears, you can fine tune by adjusting the barrel adjuster a bit at a time, and by a bit, i mean an eighth to a quarter of a turn at a time. It can be a bit frustrating to get it right especially at your first attempt, and once it is under load when riding, you may need to make minor tweaks to get it spot on.
However, all of this is a waste of time if any of your cables are worn, the chain is stretched, or there is any damage to the components. So make sure all is well, clean and lubed or you will never get it right.
It is well demonstrated on you tube as others have said.
