Use the Shading dropdown and go to More...
Apply the Shading to the paragraph.
It will extend from the top of the paragraph, as marked by a pilcrow, to the bottom of the paragraph. 00 deleteme 3.png
The top and bottom of the shading are set by space before and space after paragraph settings as well as the font definition and size. The left and right will be defined by the left and right indent settings for the paragraph. This should actually be in a paragraph style rather than direct formatting to allow easy reuse and modification. See: The Importance of Styles in Microsoft Word.

Alternatively, you could create a single-cell borderless table and apply shading to the cell.

Alternatively, you could use a Text Box. (For other reasons, I do not recommend this.)