This will create a header and footer on every page.
With ActiveDocument.Sections(1)
.Headers(wdHeaderFooterPrimary).Range.Text = "Header goes here"
.Footers(wdHeaderFooterPrimary).Range.Text = "Footer goes here"
End With
You can find more information on how to use headers and footers with vba here: http://msdn.microsoft.com/en-us/library/office/aa221968%28v=office.11%29.aspx