Full Idea
Very roughly, we can say that to think of something indexically is to think of it in relation to me, as I am presented to myself in self-consciousness.
Gist of Idea
Indexical thought is in relation to my self-consciousness
Source
Colin McGinn (Subjective View: sec qualities and indexicals [1983], 2)
Book Reference
McGinn,Colin: 'The Subjective View' [OUP 1983], p.17
A Reaction
So it is characterised relationally, which doesn't mean it has a distinctive intrinsic character. If I'm lost, and I overhear someone say 'Peter is in Hazlemere', I get the same relational information (in a different mode) without the indexicality.