Word 2003/2007 Help Wanted!

Does anyone know how to get Word to have different headers for different sections of a long document?

I followed the online instructions (I think) for tying the headers to specific sections, but I can't seem to get the headers to stay within their section. Everytime I try to change one, they all change.

I also have Acrobat Pro, so if I should add the headings after I turn it into a pdf, I'm game for that as well.

ETA: Switching to InDesign. Turns out I have online access to InDesign for Dummies. As Cher says in Clueless: "Project!"