you don't have to save the index file in any special way - FrontPage automatically creates the first blank page as index.htm, and then, when you save the web to your hard drives FP will create its own folder for the web. The folder will have the special globe icon on it, signifying that it's a FrontPage web.
When you decide to publsih the web to your server space do it from FrontPage itself - don't create any folders on the server (unless you have other webs running in the space), or move the index file in any way, or the web won't work.
The reason you can't see the special homepage icon in FP is that you appear to have used the 'save as' file command to save the index page to a special location - you shouldn't have done it that way. When you want to save the web to your hard drive for the first time you should use the 'File/publish web' command and browse to the location that you want to save the web to. FrontPage will create the web within the location.
It's easier to do than it looks when written down - if you get stuck come back, and one of us will clarify things further. The trick is that you must publish the web to your hard drive rather than 'saving' it.