This is from Outlook Express's Help file:
To create stationery for outgoing messages
You can use the Stationery Wizard to create new looks for your e-mail and
newsgroup messages.
1.. On the Tools menu, click Options, and then click the Compose tab.
2.. In the Stationery area, click Create New.
Notes
a.. To use stationery you see in a message from someone else, select the
message, and then on the File menu, click Save as Stationery.
b.. A stationery file is an HTML file and can be edited in Outlook
Express. In a new message window, on the View menu, click Source Edit, and
then click the Source tab to make changes.
c.. When creating your stationery, try to keep the file size smaller than
10 KB. Pictures and other objects can make the file too large to be easily
downloaded. (Check the size of your stationery inside the Stationery folder
at \Program Files\Common Files\Microsoft Shared\Stationery.)
(Since it says that a stationery file is HTML, I'd start by saving your Word
doc as HTML and see what that does.)