Composite works, like Twentieth Century Literary Criticism, usually have their own index. A good example of a composite work is an encyclopedia. Each title may vary slightly in how the index works. Twentieth Century Literary Criticism, for instance, has a cumulative index... so you would want to look in the index at the back of the most recent volume. You will need to become familiar with each title's index as you use it. The best approach is to ask a librarian for help.
Anthologies also have indexes, usually at the back of the volume. These are usually more straightforward but not always. Again, if in doubt, ask the librarian for help.