   Index Data
  I know how Vertex Data is stored, a struct that has certain data members depending on the FVF values, but how is Index Data stored? Index data is like which vertex connects to which right? It is stored as a WORD but how can I make indexes that would make a cube for example?   
  It depends on the type of primitive you're using.If you're using triangle list, you have to write 3 indices. One for each vertex of the triangle. And indices can be stored on 32 bits but also on 16 bits.Take a look here