The appearance of footnotes is governed by a paragraph style, called
"Footnote Text" or similarly. Under Format-Styles, select that style and
make all the font and paragraph settings you need. All footnotes in that
document will automatically take over those settings.

If you are fairly new to Word, you might want to consult some of the
basic tutorials on how to use styles on the MS MVPs' website, or for
instance this one:

http://www.addbalance.com/usersguide/styles.htm

Lukas

If you are in a document based on Normal.dot (a Blank Document), the
Footnote Text style is automatically smaller (10 pt TNR as opposed to 12 pt
for Normal style). I suspect you may be referring, however, to the footnote
reference mark, whose format is governed by the Footnote Reference style,
which by default is superscript (which I believe is what you want).

When you create a footnote automatically (Insert | Footnote or Ctrl+Alt+F),
you will get this formatting with no effort on your part. For more
information on creating footnotes, see the Word Help topic "Insert a
footnote or an endnote."