You must have, but it's not obvious what. Does your document have any
section breaks? The layout checkboxes (first page, odd/even) control the
headers and footers for the current section or for the entire document (ie
your document can have one, two, or three distinct headers and footers in
each section).

Create a test document and experiment until you understand what's going on.

Setting a "Different first page" creates separate headers and footers
for the first page. Go to the main header (which displays on page 2
and subsequent pages), cut the contents and paste it into the first
page header.

For more detailed instructions, see
http://sbarnhill.mvps.org/WordFAQs/HeaderFooter.htm and
http://sbarnhill.mvps.org/WordFAQs/Letterhead.htm