I have set my header to pick up the text from a specific style called Project Name.
In a later paragraph, I have this text:
Project Name: Training Attendance Interface

I tried to set only the text "Training Attendance Interface" to the style Project Name but Word automatically also sets this style to the text "Project Name:". Thus, my header will display "Project Name: Training Attendance Interface" instead of my desired text of "Training Attendance Interface".

How can I fix this?

Sounds like you need to use a style separator. Here's an overview I found somewhere on the 'Net:

1. Start a paragraph and apply a style
2. Type some text.
3. Press Ctrl+Alt+Enter to insert a style separator and assign a different style to the text after the separator.

… one of the best things I've learnt about from this forum!

Great tip! Learnt something new from the forum, as usual.
However, it still didn't solve the problem of having my header pick up the text from this style. It is still showing as an error even though I can see that "Project Name:" is formatted as Normal style and "Training Attendance Interface" is formatted as Project Name style.

Is your cross-reference in the Header a StyleRef Field?
You could apply a separate, character, style to the part you want in the header. Everything will look the same.

Hi,
What do you mean by applying a character style to the header? I've just inserted a link by using StyleRef Field. Do I need to format the header too?

I'm sorry, I meant "heading."

You can apply a character style to selected words within a paragraph and use the StyleRef field to pick up only those words from your document rather than the entire paragraph. The character style does not have to have any different formatting, it can just be used as a target for the StyleRef field.

Good tip, Charles – I'll need to take a closer look at the StyleRef options.

Works! Thanks for solving this.