What box do you have checked? If this is Word 2003 and you have checked
"Background colors and images," then you should see the background in Print
Preview. If you have checked "Background printing" in Word 2003 or any other
version, this is irrelevant; it refers to printing *in* the background (that
is, while you continue to work in Word).
Backgrounds are designed for Web pages; when you insert one, you are thrown
into Web Layout view, which should give you a clue. If you want a
"background" for a document in Word 2002 or earlier, you need a "watermark."
In Word 2002, use Format | Background | Printed Watermark. For earlier
versions, see “HOW TO: Create a Watermark in Word 97 and in Microsoft Word
2000†at
http://support.microsoft.com/?kbid=211324
