Welcome to the macProVideo forums!
Are you using Pages '09?
Here's a brief run through on how to set up a Table of Contents for you document.
You can set this up at the beginning, middle or end of creating your document. To make it easier to follow let's imagine you've created your main sections already...
1. Open the Styles Drawer and apply the Header styles you wish to the headings in your document.
(see videos 29-34).
2. Next, create a new page at the beginning of your document and choose:
Insert > Table of Contents
3. In the Inspector, choose the "Document inspector" and click on the TOC tab.
4. Here you can specify which styles will appear in the Table of Contents.
5. Click on a section in the ToC in your document and all similar heading styles will become highlighted. This makes it easy to apply text formatting changes to just Header 1, or Header 2 for example.
Let me know if you need any further help.