I know you didn't say that. I said that apparently you are not using the built-in heading styles. If you had been using them, when you copied into the new document, they would show up in the navigation pane. That does assume that you did not copy as plain text.

The built-in heading styles (levels 1-3) automatically show up in the Navigation Pane.

If by "stroking my cursor across it" you mean select with the mouse, this only works for heading styles if you include the paragraph mark at the end which you may not even see. Showing non-printing formatting marks in Microsoft Word

I'm not sure what you mean when you say "Open change styles." The Heading styles shown in the Home Tab may be what you are talking about.

Because the Heading Styles are linked styles, if you apply them to less than a full paragraph, they will not change the paragraph outline level and will not show up in the navigation pane. Instead, they will look just like a heading.

To apply a linked style to an entire paragraph, click in the paragraph, not selecting anything, and click on the style. Otherwise, you can select the entire paragraph, including the final paragraph mark and apply the style. I prefer the former method.

I assume that when you say Word 10 you really mean Word 2010 (Word 14) rather than Word 2002 (Word 10).