One way:
Make a bookmark that includes all the pages that refer to the word in
question.
Then, add \r "bookmarkname" to your Index Mark for that word.
Example: { XE "Advantage" \r advantage }
In this example, the word to mark is Advantage. The name of the bookmark is
referenced after the \r. In this case, the Bookmark is also named advantage.
You may also want to look at:
http://word.mvps.org/FAQs/Numbering/CreateIndex.htm
Specifically, the section on Page Number Conflation at the very bottom.
tj