The "Indices Dialog Box" opens when you press Ctrl + I. Once you've setup your Indices, close ZT so you can save your session. The Indices Dialog Box shows every time you open it again.
PS: The reason you may have to press Ctrl + I every time right now is because your ZT session is not exiting properly so it's not saving any of the changes you make. So making the changes, exiting ZT and then restarting it will usually save any changes you make.