I found Dr.Explain accommodates as high a quality an index as I want to create. Context hierarchy levels are not limited to 3 levels (as they are in Adobe Pagemaker), although it is rare and usually unheard of to have more than a 3-level index. (Dr.Explain adheres to Microsoft HTML Help Workshop's compiler's capabilities, since it uses it to compile the CHM file with. Wise I think.)
There were several features of Dr.Explain that makes dealing with indexes both easy and productive:
The spirit of the Windows user interface includes making every action of a program possible to do via the keyboard (i.e. without a mouse). For people like me who like to keep their hands on the keyboard for speed reasons, learning the keyboard shortcuts is another great productivity booster. This spirit is carried into the Indexing features of Dr.Explain, which I found allowed me to do almost every indexing action with keyboard shortcuts. See also Keywords List Navigable Via the Keyboard for more information.
As your index matures, it is inevitable you will find opportunities to improve your index with a slightly different index hierarchy among a group of index entries. Dr.Explain makes changing the hierarchy between index entries as easy as a dragging-and-dropping the target index entry under its new parent.
Another thing I encounter frequently as my index nears completion is the need to change where index entries link to, as well as the realization that I need a new index entry that I already know will need to link to several pages. Dr.Explain provides a way of handling this situation in a manner that is extremely efficient.
In summary: creating a high-quality index was as simple as going through the steps I outlined above! I couldn't be happier! :-)