Simply selecting a footnote or endnote and changing its font is not the correct way to go about this task. Doing it that way means you might have to do every footnote separately and has no effect on any new footnotes or endnotes.

The correct way to change the footnote or endnote font is to change the footnote or endnote paragraph Style definition. To do that in Word 2007:
• click on any footnote or endnote
• click on the little angled arrow below 'Change Styles' on the Styles tab to open the Styles panel.
• scroll up/down till you find the 'Footnote' or 'Endnote' Style, as appropriate.
• click on the ¶ symbol next to the Style name and choose Modify, then change the font to whatever you want.
• when you've changed the font, click OK. The change will now apply to all exisiting and future footnotes or endnotes(as applicable, provided they're using the footnote or endnote Style - which they do by default)

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]