To tell Indie you don't want to fly between two of your destinations ( otherwise known as "overland segment", or "on your own"), click on the airplane icon between the relevant cities. This icon will change to a train icon and the flight will be removed from your flight search. You will be able to confirm this on the subsequent screens.
For example, say you are flying this route:
New York - Paris - Milan - Bangkok - Sydney
But you don't want to buy a flight from Paris to Milan. You want to arrange your own travel, maybe by train or maybe you want to buy that flight locally so you don't have to choose a date.
You click on the little airplane icon between Paris and Milan to tell Indie you are doing that segment "on your own" (some people refer to this as "by land" because they are not going by air.) Then click Find Flights and Indie will not provide any flights for that segment.
You will notice on the map that the line drawn between the two cities you have designated on your own is in a different color, and subsequent screens will show that there is no flight for that segment.