Including Xindy instead of/in addition to makeindex would be really helpful. Makeindex is not as customisable as xindy. To produce an index in Russian I used to write preprocessing and postprocessing scripts for Windows Script Host (WSH). Thouhg I don't have personal experience with Xindy, it seems to provide all required functionaly.
I support this request : xindy would really be helpful for any language using
non-ascii characters. I remember to have seen xindy as one of the planned
additions to MiKTeX several years ago. Is there any hope to have it within a
predictable future ?
Until there will perhaps be sometime an own MiKTeX version of Xindy you can try this: How to use Xindy with MiKTeX?.