If this is paragraph numbering, you can choose the "0001, 0002, ..." format in the Multilevel List dialog box. At least that format is offered in Word 2013 (I can't test Word 2010 right now). Click Home tab | Multilevel List | Define New Multilevel List.
The best approach to multilevel lists is setting them up with styles; see
http://shaunakelly.com/word/numberin...g20072010.html.