I hope, but do not know, that someone here can give step by step for Word for the Mac 2001-2004. I cannot.
Here is my page on sections for the menu versions of Word for Windows.
Sections / Headers and Footers in Microsoft Word 97-2003
In the comparable Windows version Insert > Break gives this dialog:
The link goes to a page on how sections work and what effect they have on a document's structure. It explains what the different kind of section breaks are.