CMYK is the opposite of RGB, because the colors represented by CMYK, which are cyan, magenta, yellow, and black, are not bits of light. They are instead dyes on paper that are used in the printing process. When you use a program like PhotoShop and you are making images for the web, it doesn't matter which mode you choose. This choice pertains more to professional printers and artists. When you lower the number of colors used in an image, you also lower the file size, which is important for the web.
Indexed color means that the palette has been limited, taken from a pre-determined color source.
When you save files in .GIF or .JPG format, you are often given the choice of saving your work with an indexed palette that has only the colors used in the image. There is yet another way to lower the file size using color choice. You may have the choice of changing the Color Depth of your image. The number of colors available with each change in color depth multiplies exponentially as you move up the scale. When making your image, you probably won't need more than 8 bit color.