You can't. Unlike Publisher, Word does not allow you to create new Border
Art. You can create borders manually by duplicating clip art around a
rectangular shape (you can insert a rectangular AutoShape to guide you, then
delete it when you're through) or use a clip art border. In either case, you
will need to anchor the art to the page header to make it repeat on every
page. In the case of a made-up border, you may want to save it as an
AutoText entry.