In CompuStat North America you will find a link ‘Index constituents’ at the left side of the screen. You’ll have to use the Code Lookup to get the ticker of the Index you need (for example S&P 100, S&P 500 or Dow Jones 30). The nice thing is that you can select a time frame, for example jan 2000 until dec 2008 and you will get all companies that were a part of the selected index in this period, the whole period or just a fraction of it.
You’ll get a list of the first date the company was a part of the index and in the next column you’ll see a “.” when the company is still a constituent, or the date a company was deleted from the index. So for American indices: first try this option, before making lists in Datastream!