See http://addbalance.com/usersguide/sections.htm.
Each section in Word has up to three sets of headers/footers.
There is the header/footer.
If you have different first page checked, the header/footer becomes the
continuation header/footer and you have a separate first page header/footer.
If you have different odd and even checked, the header/footer becomes the
odd header/footer and you have another even header/footer.

To see them all, you actually have to have at least three pages in your
document. If you typed something in the main header/footer and then checked
"different first page" what you typed will seem to disappear until you get
to the second page.