What to do depends on which version of Windows and Word you have. I don't
know the exact details for each combination of versions, and I don't know
anything about Korean, but for example with Windows XP and Word 2003, you
would do the following:
a. Close any Office applications
b. in Start|Control Panel|Regional Settings and
Languages|Languages|Details, use Add... to set up Korean as an Input
language. Check "Keyboard/IME," and select Korean, which I think selects a
thing called the Korean Input System (IME 2002). After this keyboard/IME has
been installed, you should be able to select "KO" using the icon in the
taskbar, assumig you have enabled the appropriate options in the dialog box
you were just using
c. In (e.g.) Start|All Programs|Microsoft Office|Microsoft Office
Tools|Microsoft Office 2003 Language Settings
2003, select Korean as an Input language.
d. Start Word and click in a new document
e. In the taskbar, make sure KO is selected. When it is, I see a red/blus
yin/yang symbol which lets you enable the IME, and three other icons related
to Korean text entry.

The IME is described in the following article

http://support.microsoft.com/kb/130053/en-us

If you are using Word 2000 or XP, you can download an "onscreen keyboard"
from the Microsoft web site that may show the correct keycaps. I do not
think the one built into Windows XP for "accessibility" purposes will do
that. If you happen to have a Tablet PC, the tablet's onscreen keyboard also
shows Hangul keycaps, and it is also possible to enter Korean characters by
drawing them with the tablet pen.

I expect there are also third party onscreen keyboards that may help.

Peter Jamieson