If you're just using the example as a way to learn LINQ, ignore this post.
It's not clear to me that LINQ is actually the best way to do this. The code below seems like it would be more efficient since no new anonymous type needs to be created. Granted, your example may be contrived and the technique might be more useful in a different context, for example in a data structure where it could take advantage of an index on value, but the code below is reasonably straight-forward, understandable (no thought required) and arguably more efficient.
string[] s = {"zero", "one", "two", "three", "four", "five"};
List<int> matchingIndices = new List<int>();
for (int i = 0; i < s.Length; ++i)
{
if (s[i].StartWith("t"))
{
matchingIndices.Add(i);
}
}