Kermit and Grover explain indexicals.

"Indexicals are linguistic expressions whose reference shifts from context to context: some paradigm examples are ‘I’, ‘here’, ‘now’, ‘today’,‘he’, ‘she’, and ‘that’. Two speakers who utter a single sentence that contains an indexical may say different things. [...] Many philosophers (following David Kaplan 1989a) hold that indexicals have two sorts of meaning. The first sort of meaning is often called ‘character’ or ‘linguistic meaning’; the second sort is often called ‘content’. Using this terminology, we can say that the word ‘I’ has a single character (or linguistic meaning), but has different contents in different contexts.

Philosophers have several reasons for being interested in indexicals. First, they wish to describe their meanings and fit them into a more general theory of meaning. Second, they wish to understand the logic of arguments containing indexicals, such as Descartes's Cogito. Third, they think that reflection on indexicals may give them some insight into such matters as the nature of belief, self-knowledge, first-person perspective, and consciousness."

Quoted from Stanford Encyclopedia Of Philosophy:
http://plato.stanford.edu/entries/indexicals/