This isn't an option in the Borders dialog box. If you want rounded corners
then you can remove the page border you currently have and manually add a
rounded rectangle in the header/footer. Here's the steps if you need them:

- Right-click the Header area and click Edit Header
- On the Insert tab, click Shapes
- Find the Rounded Rectangle in the Basic Shapes section
- Adjust your Zoom using the Zoom Slider in the lower right corner if you
want to see the entire page
- Draw the Rectangle around the page, adujst the size and position if
necessary
- On the Design tab of the Header and Footer contextual tools, click Close
Header and Footer

Please post all follow-up questions to the newsgroup. Requests for
assistance by email cannot be acknowledged.

~~~~~~~~~~~~~~~
Beth Melton
Microsoft Office MVP

Coauthor of Word 2007 Inside Out:
http://www.microsoft.com/MSPress/books/9801.aspx#AboutTheBook