A glossary is a list of terms with their definitions. Word is not magic - it
cannot automatically create such a list.
If what you are looking for is a way of linking terms in the text to a
glossary you have written yourself, you could look at entering them as cross
references. Use a Heading style for each of the terms in the Glossary to
make setting up the cross references easier.
You could store the references as AutoTexts to make it quicker to insert the
same reference multiple times.
Some Word-based Online Help creation programs (e.g. Doc-2-Help) will add
cross references automatically for terms in a glossary, but the end results
are usually very 'unintelligent' unless the terms are extremely specific and
have no grammatical variations in the text.