This is what is called folio or chapter numbering. There are good reasons not to do this, but it can be done.

John McGhie: I want to include the chapter number with the page number in the Header - how can I do this?

Each chapter after the first will need to begin with a section break (next page or odd-page).
See also:

• Page Numbers in Word 2007-2016
• Numbering Front Matter (Ribbon) by Suzanne Barnhill
• How to create numbered headings or outline numbering in Ribbon Versions of Word by Shauna Kelly