First, you'll have to have a different header on the second page. To
accomplish this, check the box for "Different first page" on the Layout tab
of Page Setup. This will give you a separate First Page Header and Header.
Then View | Header and Footer. With the header pane open, insert the desired
watermark in the First Page Header. Then click on Show Next on the Header
and Footer toolbar to get to the Header and insert the desired watermark
there. Anything you create with the header pane open will be in or anchored
to the header.
I'm assuming you already know how to create the watermark; if not, see “HOW
TO: Create a Watermark in Word 97 and in Microsoft Word 2000†at
http://support.microsoft.com/?kbid=211324