A header will appear exactly the same on each page. If you make a change on one page, it will be reflected on all of the pages. This is why you can't manually put in page numbers. To get to the header, double click at the top of the page.

Make sure you change the font to Times New Roman size 12! Now you are free to type your last name and insert your page number (for MLA) or to type your Running Head and insert your page number (for APA Style) or just insert your page number (Chicago Manual of Style).

The best way to insert a page number is to have the cursor where you want it and select the Insert tab, then Page Number -> Current Position -> Plain Number.

Sometimes you need your first page Header to be different from the rest of your paper. Word has an option for this. While your cursor is in the Header, choose the Design tab under Header & Footer Tools then select the checkbox next to Different first page.

This allows you to have a special header on the first page of your document.