Paragraph borders can be reached through the paragraph group on the Home tab.
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What Paul was referring to was the automatic application of borders through the feature "Autoformat as you type." This can be reached through File > Options > Proofing > AutoCorrect Options. These options are checked by default in an initial installation of Word. I, and many experienced Word users, turn most of them off.
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The reason we turn them off is that they can be a real pain if the user doesn't understand what is happening. For the experienced user, it is simpler to use the actual controls. See:

• Weird Lines and Borders
• Troublesome Lines