Look for the instructions or guide page of the index you are using. It will tell you how the index is organized. Once you understand how a print index is organized, the volume in which you start your search will depend upon what you are looking for.
NOTE: If you have access to the electronic version of an index, your search of the print volumes should go from whichever volume you start your search with through the volume which overlaps the beginning of the electronic version of the index.