As g-n-o says, this is a watermark. If you have a version earlier than Word
2002, you can still use a watermark; it just requires a bit more work. For
the general principles, see Word's Help under "Create a watermark" and/or
"HOW TO: Create a Watermark in Microsoft Word 2000" at
http://support.microsoft.com/?kbid=211324. It's actually a good idea to at
least understand the idea of how to create a watermark manually even if
you're using Word 2002 or 2003 because sometimes the watermarks Word inserts
automatically can be problematical to remove, and it helps to know that
they're just floating objects anchored to the header.
Some printers allow you to print a watermark on every page you print, but
this is a printer Properties setting rather than a document setting, making
it less satisfactory unless you want to print, say, CONFIDENTIAL on every
document.