I'm not sure if you want the table of contents (simply adding \tableofcontents{}) or the alphabetic index, but this example make both:
\documentclass{report}
\usepackage{makeidx}
\makeindex
\begin{document}
\tableofcontents{}
\part{ABC}
\index{ABC}ABC
\part{DEF}
\index{DEF}DEF
\part{XYZ}
\index{XYZ}XYZ
\printindex{}
\end{document}
Remember that you need to run pdflatex myfile.tex twice to obtain atable of contents. If there are an alphabetic index, it is also needed a makeindex myfile.idx after pdflatex myfile.tex to have a myfile.ind and then run pdflatex myfile.tex again.
Edit 1: As in the edited question you mention both report and section may be you will prefer change report by article in the document class and \section instead of \part.
Edit 2: The question ask now for include images in the table of contents. This is not trivial, but there a solution in Resources for designing a table of contents. Also could be of interest Include images in TOC?.
\setcounter{page}{xx}to have automatic page numbers. – Fran Jan 23 '13 at 06:52