Clarification of simple database terms on Series I

I read where someone speaks of making an index on a field - this means adding it as a key to the table it is in? But would that affect other jobs ? 
also he refers to creating a Stored Procedure on the AS400. This means a CL prgram? Or there is ability to use something like SQL Server Studio on the AS400 data?
 
I am not sure if I understand correctly how one accesses the AS400 data perhaps. We are using this data with Microsoft SSRS prgrams.
 
Thank you,
Paul