Hello Kimberly,
that is interesting, because it works for me, in my Word I have no problems with that so that might be a problem of your copy.
I just found a tutorial on how to do it here:
http://www.mswordhelp.com/2010/05/wo...-ms-word-2002/
Also Howard,
as Kimberly said, you need to use section, not page breaks because then you need to split your formats of your page numberings.
Mike