Buy a ticket to see a game at Holkar Stadium. If there's nothing happening while you're there, you might like to check if they give a guided tour of the facilities.
This Indore sporting facility is a good spot to kick off your day of sightseeing. There's lots to see nearby, such as Rajwada Indore, ISKCON Indore, and Annapurna Temple. Take your time at Holkar Stadium before hitting up these other fine sights.