To set a first line indent for each footnote paragraph, you can modify the Footnote Text paragraph style, as Paul suggested.
Note, however, that you can't change the indentation around the footnote reference number, if that is what you are trying to do. Word will always add a space after the number (and nothing else). This is very different from paragraph numbering in Word.
If you want a hanging indent for each new footnote text paragraph that you add, you can make use of macros. The following two macros remove the superscript from the footnote number and adds a tab stop. Use it after you have set a hanging indent for the Footnote Text style.
Code:
Sub InsertFootnote()
'Macro originally created by Dave Rado
'https://wordmvp.com/FAQs/MacrosVBA/UnSuperscptFnotes.htm
'Modified by Stefan Blom, MVP, May 2019
ActiveDocument.Footnotes.Add Range:=Selection.Range
With Selection
.Paragraphs(1).Range.Font.Reset
.Paragraphs(1).Range.Characters(2) = ""
.InsertAfter "." & vbTab
.Collapse wdCollapseEnd
End With
ActiveWindow.ScrollIntoView Selection.Range
End Sub
Sub InsertFootnoteNow()
'Macro originally created by Dave Rado
'https://wordmvp.com/FAQs/MacrosVBA/UnSuperscptFnotes.htm
'Modified by Stefan Blom, MVP, May 2019
ActiveDocument.Footnotes.Add Range:=Selection.Range
With Selection
.Paragraphs(1).Range.Font.Reset
.Paragraphs(1).Range.Characters(2) = ""
.InsertAfter "." & vbTab
.Collapse wdCollapseEnd
End With
ActiveWindow.ScrollIntoView Selection.Range
End Sub