It works on my machine... Here's what I do, in details;

I make sure I have no Word session activated.
I launch Word.
I get the usual blank "Document 1" document.
I do File > Page Setup > Set the margins as I want them.
I click on "Default."
I click on "Yes" when Word asks me if I want this change to be effective for
all documents created from "Normal.dot."
I close the dialog.
I quit Word.
In my case, I click on "Yes" when Word asks me if I want to save the changes
to "Normal.dot" (You may not have this message, if you odn't it means that
changes are saved automatically.)

If you do as I did and it does not work, there is a problem with your set up
or with your Normal.dot.

Some add-ins prevent Normal.dot from being saved. See the last part of
http://www.gmayor.com/lose_that_adobe_acrobat_toolbar.htm