It depends on what you are trying to accomplish. You can, as Stefan
suggests, use a "Background," but this is visible only in Web Layout view
and will not print (except in Word 2003 if you have the Print Options set
appropriately). For a color background that will print, and can be displayed
in Print Layout view (but still not in Normal view), you can use the
"Printed Watermark" feature.
If what you want to do, though, is change the "paper color" to make it
easier on your eyes (without changing what will print), then you need to
change the window color in Control Panel | Display | Appearance. This will
affect all windows in all Windows applications. I keep mine set to "ivory"
(255, 255, 225).