Which version of Excel are you using?
Excel 2003 offline help explains "watermark" in help as a sheet background.
Excel 2007 same thing.
Do you want to print the watermark or just have it visible on the sheet?
If just visible on the sheet, a simple sheet background will suffice.
You can learn how to do that using help as above.
What type of watermark do you want?
You can use Wordart with transparent background to display a watermark
message like Confidential or Draft Copy or similar.
You can also visit Bob Phillips' site for more on watermarks for printing.
http://www.xldynamic.com/source/xld.xlFAQ0005.html
Gord Dibben MS Excel MVP