File ▸ New ▸ Book… creates a book (a .mpbook file) and opens the Book palette. Add documents with “+”; drag or use the arrows to reorder them. Page numbers run on from one document to the next; Update Numbering writes them into the documents. Use as Style Source and Synchronize… copy styles from one document to the others. “About Books” at the foot of the palette explains the details.
Layout ▸ Table of Contents… builds a TOC from paragraph styles; Update Table of Contents rebuilds it. Window ▸ Index (Shift+F8) adds index entries and generates the index.
Window ▸ Hyperlinks and Window ▸ Interactive ▸ Bookmarks; Type ▸ Insert Special Character ▸ Footnote (Ctrl+Alt+Shift+F7) with the caret in the text.