It’s hard to answer exactly, because themes vary. But typically index.php is not the one that is used for your blog archive / front page. It is there as a fallback. Many themes have a “front-page.php” or a “home.php” that contains the blog archive / front page code. If you have a static front page (you set a Page in wp-admin as the homepage) you may also need to look for an archive template, possibly “archive.php”. I would try going through these files and just add a bit of text – that way you’ll know when you have the right file, even if a function isn’t working as expected. The template hierarchy may help you determine which file you need to be editing.
Once you’ve found the right file, it will be easier to add the navigation – though you should be able to use the built-in posts_nav_link() function rather than having to install Page Navi or any other plugins.
Since you’re new to WP, also look into child themes if you haven’t yet. Rather than directly editing any of your theme files, you create a child theme so that any changes you make will still be applied. If you edit a theme directly, then whenever it is updated, your changes will all be overwritten.