Just change it in the cross-reference field. Don't forget to click the option button next to the cross-reference field. If you do forget, Word will enter an ordinary index entry. Word ought to be smart enough to click the option button for you if you start typing in the cross-reference field, but it isn't. When you select the Current Page option button, Word makes an index entry pointing, as you might expect, to the page on which the index entry is located.
Current page is the default.
This type of index is usually used when a single topic is mentioned many times over multiple pages. Open the Mark Index Entry dialog box. Click Page Range. Click the down arrow to the right of the bookmark drop down box. Select the name of the bookmark by scrolling and clicking, or by typing it in.