According to legend, Indra's thunderbolt was fashioned from the bones of the great Rishi Dadhichi, who was decapitated by Indra in sacrifice. Dadhichi's 'indestructible' skull-bones gave Indra the most powerful of weapons. By its energy he slew innumerable of his enemy demons. In mythological descriptions, Indra's thunderbolt or vajra is shaped either like a circular discus with a hole at its center, or in the form of a cross with transverse bladed bars. The Rigveda, the most ancient text in the world, identifies the vajra as a notched metal club with a thousand prongs. What is significant is that all these descriptions identify the vajra as having open prongs, unlike the Buddhist one, which has closed prongs. According to a Buddhist legend, Shakyamuni took the vajra weapon from Indra and forced its wrathful open prongs together, thus forming a peaceful Buddhist scepter with closed prongs. The Buddhist vajra hence absorbed the unbreakable and indestructible power of the thunderbolt.    ~ Nitin Kumar, Exotic India Arts

Structure of the Vajra

Robert Beer in The Encyclopedia of Tibetan Symbols and Motifs explains the elements of the five-pronged vajra: 

At the centre of the vajra is a flattened sphere representing the dharmata as the 'sphere of actual reality.' This sphere is sealed within by the syllable HUM, whose three component sounds represent freedom from karma ([the Sanskrit letter,] Hetu,) freedom from conceptual thought (Uha) and the groundlessness of all dharmas (M.)

On either side of the central hub are three rings [which] symbolise the spontaneous bliss of Buddha nature as emptiness, signlessness and effortlessness. 

Emerging from the three rings on either side are two eight-petalled lotuses. The sixteen petals represent the sixteen modes of emptiness. The upper lotus petals also represent the eight bodhisattvas, and the eight lower petals, the eight female consorts. 

Above the lotus bases are another series of three pearl-like rings, which collectively represents the six perfections of patience, generosity, discipline, effort, meditation and wisdom. A full moon disc crowns each of the lotuses, symbolising the full realisation of absolute and relative bodhichitta. 

Emerging from the moon discs are five tapering prongs, forming a spherical cluster or cross. The four [outer] ... prongs curve inwards to the central prong, symbolising that the four aggregates of form, feeling, perception and motivation depend upon the fifth aggregate of consciousness.  The five upper prongs of the vajra represent the Five Buddhas (Akshobhya,Vairochana, Ratnasambhava, Amitabha and Amogasiddhi,) and the unity of their five wisdoms, attributes and qualities. The five lower prongs represent the female consorts of the Five Buddhas (Mamaki, Lochana, Vajradhatvishvari, Pandara and Tara) and the unity of their qualities and attributes. The Five Buddhas and their consorts symbolise the elimination of the five aggregates of personality. The ten prongs together symbolise the ten perfections (the six mentioned above plus skilful means, aspiration, inner strength, and pure awareness;) the 'ten grounds' or progressive levels of realisation of a bodhisattva; and the ten directions. 

Each of the outer prongs arise from the heads of Makaras (sea monster). The four Makaras symbolise the four immeasurables (compassion, love, sympathetic joy and equanimity;) the four doors of liberation (emptiness, signlessness, wishlessness and lack of composition;) the conquest of the four Maras (emotional defilements, passion, death, divine pride and lust;) the four activities or karmas; the four purified elements (air, fire, water, earth;) and the four joys (joy, supreme joy, the joy of cessation and innate joy.)

The tips at the end of the central prong may be shaped like a tapering pyramid or four-faceted jewel, which represents Mount Meru as the axial centre of both the outer macrocosm and inner microcosm. 

The twin faces of the symmetrical vajra represent the unity of relative and absolute truth.