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Choose Borders and Shading from the Format menu. Word displays the Borders and Shading dialog box.
Make sure the Page Border tab is selected.
Use the controls in the dialog box to specify how you want the border to appear.
Click on the Options button. Word displays the Borders and Shading Options dialog box.
Use the Measure From drop-down list to specify whether your measurements are going to be calculated from the edge of the paper or from the text on the page.
Use the controls in the dialog box to specify where on the page the border edges should be printed.
Click on OK to close the dialog box.
Click on OK to close the Borders and Shading dialog box.
There are a few things to keep in mind as you specify where you want your full-page borders printed.
When specifying the location of the borders in step 6, you can specify any value between 0 points and 31 points. This means that the maximum distance for the borders is 31/72 of an inch, or less than half an inch from the paper's edge if you specify that borders are calculated Edge of Page (step 5). If your printer cannot print within the last half inch of the paper, for instance, you won't see the bottom edge of the full-page borders.
To get around this, try changing the way the border is calculated so it is Text (step 5) and then play with different positioning settings. This may take a bit of trial and error. If you still can't get just the results you like, then you can forego using a full-page border and simply place a large rectangle AutoShape (with no fill) on your page. You then have full control over where the sides of the rectangle are printed.
If you would like more information on full-page borders and why they may not print, check out this page at the Word MVP site: