>Ok, I'm pretty new at FoxPro. I'm not sure how to do this or what it does. I looked up PADL and that pads characters to the left. I looked up TRANSFORM and it didn't make sense either.
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>If you could offer a little more help, I'd appreciate it, like how to create this index and what its doing.

You got the rest answered, and as to what it's doing, there's a simple way to see. You can have an expression in a browse, so

Browse fields the_no, density, color, TheKey=padl(transform(the_no),10)+density+color

will show you what is the set of values you're getting with that expression. If you already have this index built and set as current order, you could just experiment by editing values for the three fields involved, and see how does the index key value change. That would give you some idea on how the expression behaves, and how does the change influence the ordering.