Vectors - They describe the direction, or location of something. As far as D3D is concerned (IM atleast), they are locations, ie, x,y,z. Typically a vertex has a vector as part of it.
Indices - Because of the way 3D models are made, many times a single vertex, "belongs" to more than one triangle (or whatever)
It is far more space efficient to store all vertices in an array, and to define the triangles, simply have the 3 indices (or Index into the array).
So if a triangle had vertices v1,v2,v3, those would be the index into the vertex array, of those particular points.
Kind of hard to express, but I hope I made it clear.
