Carl,
Michel is correct in the description of this issue. Here are some
more items that may be of help:
1) When editing a document, some configurations are stored in the
document itself and some are store in your Normal template. This
is further divided up on the Mac where you also have preference
files that store some of your configurations as well.
2) <Rant On> The GUI in Word (or any of Microsoft's Office
products for that matter) is very non-cohesive and unintuitive as
far as which setting is stored in which location IMHO (i.e., it
is rather scrambled). Sometimes you think that you are setting up
a document specific configuration and in fact you have modified a
global setting (i.e., something stored in your Normal template).
This can be as innocent as changing your view from Page Layout to
Normal or as significant as changing the settings on an embedded
style. Word does NOT make it clear as to which is which as they
tend to be all grouped together. This is particularly bad on the
PC version of Word. Stupid, stupid, stupid. <Rant Off>
3) While editing or viewing a document, you may inadvertently
change something associated with your Normal template. This
message warns you that you have done this and gives you the
choice of either throwing away the "global" change that you made
or by keeping it (i.e., writing it into your Normal template).
4) Since I like to control (read: eliminate) the churn on my
Normal template, I like to leave that warning message on since I
usually select "no, don't change the Normal template". However,
regardless of whether you like to keep Normal template changes or
not, turning the message off hides significant choices that Word
is making for you.
5) Part of the trick is learning the things that are actually
stored in Normal. The mvps documents can help with this. Once you
have a familiarity with the types of things stored in Normal
template, you will more easily recognize what it was that you
changed during your edit session and hence can decide more easily
how to respond to the dialog message.
Hope this helps some.