It was an insult word invented by the invaders of India. But think for a second, does anyone know what Christian, Mohammedan or Jew mean. Ask a million different believers and you will get a million different answers. Except that they will all agree on one thing, which is that their version is the correct one, because it comes with the authority of god.
The origin of the word "Hindu" is different from all three. First it was around the river "Sindhu" near Indus Valley. Invaders could not pronounce Sindhu, so it became Hindu. And because India was invaded 38 times during 3,400 years, Hindus were known as slaves.