Step-by-step guide

You can use the grib_dump command with the "-D" option:

% grib_dump -D my.index

And the output will look something like this:

***** FILE: my.idx 
GRIB File: data/tigge_cf_ecmwf.grib2
GRIB File: data/tigge_af_ecmwf.grib2
Index keys:
key name = mars.date
values = 20070122, 20060630, 20060623, 20060811, 20060619
key name = mars.stream
values = enfo, oper
key name = mars.type
values = cf, fc
key name = mars.step
values = 96, 0
key name = mars.param
values = 228039, 228139, 133, 189, 168, 121, 122, 167, 147, 176, 177, 134, 146, 130, 228164, 136, 228228, 131, 132, 0
key name = mars.levtype
values = sfc, pl, pv, pt
key name = mars.levelist
values = undef, 925, 2, 320
key name = mars.number
values = 0, undef
Index count = 8

You can see which GRIB files were used to build that index as well as the keys and their values. In the above example the keys belonged to the "mars" namespace.