That's very simple, really.

Assuming you already have the numbered heading, go to the 'Paragraph' block on the Ribbon's Home tab, where you can choose a shading and apply borders all-around. Then, assuming you're using a Heading Style for this, right-click on the heading and choose Styles>'Updating Heading # to match selection', where # is the heading Style's level.

PS: Please don't go editing your initial post; the link in it causes it to become 'moderated', so I have to re-approve it before anyone else can see it.

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