Here is what I am doing...
Change page borders to 0 (Top, Bottom, Left, Right)
Select Paper as A4
Change "Page color" to black
Select "Print background images" in Word options.

I am in the print layout view and I can see that the background color (black) covers the entire document.
However, when I go to print preview (and then actually print the document) I see there is a white border around the document.



Please help, I have been trying to figure this out since the last 3-4 hrs

Few printers can do full-page color bleeds. Almost all have an unprintable area around the borders. You cannot control this with Word - it is a printer hardware issue. If you need full-page color bleeds, you need to use a printer that can do them, purchase pre-coloured stock, or print on a larger paper size then trim to fit.

__________________
Cheers,
Paul Edstein
[Fmr MS MVP - Word]

Thank you macropod. That is something I was not aware of. I am thinking if I print to PDF will it solve. I am going to try that out and let you know how that goes.
Thanks again for your reply.

While printing (or saving) to PDF can give you a PDF with full-page color bleeds, your printer still won't be able to print the pages that way.

__________________
Cheers,
Paul Edstein
[Fmr MS MVP - Word]

As you said, the pdf does get created with full page bleed but the prints don't work.
AH! I guess I will have to make do with this or find a professional print shop that has a printer that is capable of handling full page bleeds.
Thank you for helping me with my query.