Heading 1 through Heading 9 might not be selectable if either:
1. You are using a different language version of Word which names "Heading" in the language of your version of Word
2. The styles are hidden
3. The styles have an alias and your option is set to hide the built-in name if a style has an alias.

If you post a sample document, we can tell you which of these is the case.

However, regardless of any of these, you can apply a heading style to any unnumbered paragraph by pressing Alt-Shift-Left Arrow or Right Arrow. Once you have a heading, you can promote or demote them with the same keyboard shortcuts.

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Andrew Lockton
Chrysalis Design, Melbourne Australia