Nukedaddy: Depending on why you want this particular character, maybe you can use the mathematical empty-set character mentioned by Robert2 in post #4. It's Unicode 2205, which you can create by typing 2205,Alt-x.

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Paul Edstein
[Fmr MS MVP - Word]

As I said quite early in this thread, you could use Alt+8709 (which is the HTML numeric character reference for an empty set, a null set, a diameter).
You’ll find it in a subset of Arial Unicode MS (Mathematical Operators).
Arial Unicode MS looks very much like Arial. Here is from the Wikipedia article at Arial Unicode MS:
In digital typography, the TrueType font Arial Unicode MS is an extended version of the fontArial. Compared to Arial, it includes higher line height, omits kerning pairs and adds enough glyphs to cover a large subset of Unicode 2.1—thus supporting most Microsoftcode pages, but also requiring much more storage space (22 megabytes).[1] It also adds Ideographic layout tables, but unlike Arial, it mandates no smoothing in the 14–18 point range, and contains Roman (upright) glyphs only; there is no oblique (italic) version. Arial Unicode MS is normally distributed with Microsoft Office,

Yes, but in post #1 Nukedaddy was emphatic that the font must be Arial.

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Paul Edstein
[Fmr MS MVP - Word]

If the font must be Arial, then the OP simply won’t be able to insert a slashed zero! There is no point in suggesting to type 2205,Alt-x or Alt+8709 to get a slashed zero in Arial. Arial does not have that character! This is a typical catch-22!
But Arial Unicode MS is an extended clone of Arial, and it does have the required character in its “Mathematical Operator” subset. Would anybody notice that the slashed zero belongs to Arial Unicode MS rather than to Arial?

Hmm. It seems either sequence causes Word to switch from Arial to Cambria Math...

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

Cambria Math seems a quite logical choice for a mathematical operator… But Cambria Math can easily be changed to Arial Unicode MS for that single character if the font looks matter so much. As I said, would anybody notice that the slashed zero belongs to Arial Unicode MS rather than to Arial? Would it matter at all?
Note that the following fonts also include the slashed zero as a glyph. There is plenty to choose from outside Arial:
Segoe UI, Segoe UI Symbol, Amiri Quran, Cambria, Cambria Math, Code 2000, DejaVu Sans, DejaVu Sans Condensed, Ebrima, Gadugi, Gentium Basic, Gentium Book Basic, Leelawadee UI, Libre Franklin, Linux Biolinum G, Linux Libertine G, Linux Libertine Display G, Lucida Sans Uinicode, Malgun Gothic, Microsoft JhengHei, Microsoft JhengHei UI, Microsoft Sans Serif, Microsoft YaHei, Microsquare, MingLiU-ExtB, Mriam CLM, MS Gothic, MS Mincho, OpenSymbol, SimSun, Tahoma, Yu Gothic, etc..