OK. I'm assuming Word 2003. When you've the document open, go to Tools in the bar near the top of the screen - the one that starts off File, Edit, View, etc. Hit Tools, go down dropdown menu to Autocorrect options. Click Autocorrect tab. In the middle of that tab you'll see a box labelled Replace where you can type SEH. This will take you to (in the box below this) where you will see that it's set to change SEH to SHE. Hit delete.
The reason for this Autocorrect function is to try to be helpful and automatically change mistakes. However, like all things, it's not OK some of the time when you want what it sees as a mistake to remain!
I hope this is clearer. BTW, if you don't want any autocorrection at all, uncheck the box that says 'Replace text as you type'. In fact, in that area are a whole lot of features that you may or may not want, which can be checked or unchecked.