Hi Scott,
You can get the historical pricing data on a wide variety of indices from Yahoo (Historical). Just visit their site with your browser to find out the symbol, and then create a new investment. You can look up the symbols here:
http://finance.yahoo.com/indices
You can use any of the overlay style graphs to overlay multiple investments (one being an index), or overlay a whole sub-portfolio with an index. To select the investments to overlay, use "Graphs / Options / Overlaid Investments".
Please also see this FAQ page on tracking/comparing indices:
http://www.fundmanagersoftware.com/faq_ ... arison.php