It is an integer representing where it comes in the list or array you are looping through.
The first element in an array will have an index of 0, the next one will have an index of 1, the next will be 2, etc, etc.
Your Static Mesh Component may have several materials. They will be held in an array. You are setting the first (and possibly only) material in this list, which has an element index of 0.
An example of an array of strings:
[ ‘This’, ‘is’, ‘an’, ‘array’, ‘of’, ‘strings’ ]
‘This’ is the element at index 0.
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