Sorry, I should have posted the link to
http://word.mvps.org/faqs/formatting...thsections.htm as well. The article explains the principles of section formatting (and the possible consequences as you delete a section break).
You'll notice that the article hasn't been updated for Word 2007/2010/2013, which means that menu commands aren't 100% correct. As an example, File | Page Setup is no longer available; to display the Page Setup dialog box for the current section, you can double-click the vertical ruler.