Margin setting apply to whole Sections of a document, not to individual pages. That said, if you're creating a document that is to have space on the first page for a letterhead, for example, apply a 'different first page' page layout to the document, then insert your letterhead content into the page header and/or footer on that page. Word will allow the header/footer content to reduce the space available between the margins on that page without affecting subsequent pages.