The filename is for a default index which you wish to consider the usual one to open.
thorough concordancing: when you compute a concordance from an index, you will either get (thorough checked) or not get (if not checked) full sentence, paragraph and other statistics as in a normal concordance search. (Computing these statistics takes a little longer.)
show if frequency at least: determines which items you will see when you load up the index file. (What you see looks like a word list but it is reading the underlying index.)
the minimum and maximum sizes are 2 and 8. Set these before you compute a multi-word word list based on the index. A good maximum is probably 5 or 6.
stop at: you can choose where you want cluster breaks to be assumed. With the setting above (no limits), "I wrote the letter. Then I posted it" would consider letter then I posted as a possible multi-word string even though there's a sentence break between them.