Firstly, put your cursor wherever you want the table to go. Then go to the Insert menu of Word and select Index and Tables. On the box that pops up there should be a tab for the Table of Contents. Select this.
It will give you several options. Insert page numbers? Well obviously. It will also give you the option to right-align them, which will make the table easier to read. The Tab Leader option will let you decide if you want a line of dots, or a line, or nothing at all, between the end of the title and the number. I opted for nothing as this is what you often see in traditionally published books. The format option lets you change the look of it. Show Levels is only useful if you have different levels of headings - say a title and then different sections within your chapter, as this will let you pull out the different subheadings as well. For a standard book of short stories you only need one heading.
In Word 2000 there's an options button, which may be lurking somewhere else in more modern versions, but this is where you tell it which information to pull out. Check the box for building the table of contents from styles. Then go down the list. Remember the style of the table of contents we set up earlier? Select that as 1 (and any subheading styles as 2, 3, etc). Click OK, and you have a table of contents.
Next, you'll need a cover.