For security, OS X can't index volumes or servers that you don't have permission to. By default it should index your user folder, but it won't for any other users on your system.
If you are the administator you should be able to index your volume. You may need to enable the root user through the NetInfo Manager.
Are you using 10.1 or 10.0.4? I noticed that I couldn't index my OS X volume under 10.0.4 but it does under 10.1.