Page borders are a section property. You will need to insert a section break
and then apply the given page border to the current section; repeat for the
second section.

Denis,
To do that you will need two sections, page one in section one, pages 2-5 in
section two. You can insert a section (next page) using the Insert menu,
it's the top item of the menu.
Then you can apply a different page border for section one using the 'apply
to' list in the Borders and shading dialog. Put your curser in the first
section which consists of only one page and use 'apply to this section',
then put your cursor in any of the pages of the second section and use
'apply to this section'.