Headers and footers, where page numbers usually reside, are greyed out when the insertion point is in the main body of the document. This cannot be changed. To see the document the way it will print, look at the document in Print Preview (you can use Ctrl+F2 to swith to Print Preview and then press ESC when you want to return to your previous view).

Also, since page numbers are fields, by default, they will be shaded when you select them. You can turn this setting off (for all fields) as follows: Click the Office button, and then click Word Options. In the Advanced category, change "Field coding" to "Never," and click OK.