The header and footer disappear because the header and footer you just
created are the Header and Footer for the second and subsequent pages. If
you insert a page break to create a second page, you'll see them again. If
the text you put in the Header or Footer is what you want on the first page
then cut it from the Header/Footer and put it in the First Page
Header/Footer. For more on this, see
http://sbarnhill.mvps.org/WordFAQs/Letterhead.htm and/or
http://sbarnhill.mvps.org/WordFAQs/HeaderFooter.htm

If you set the header up before selecting that option, what you have set up
is the Primary Header that will appear on the second and following pages.
Uncheck the setting, select and cut the information from the Primary Header
that will then have re-appeared, and then reselect the option and paste the
data into the First Page Header pane, which is what you will then have in
front of you.

Nothing.

Before you check the option, cut the contents of your header so that you can
paste it into the first page header. What happens is that Word puts a
separate, different, header (footer) on the first page. The original header
is still there for the continuation pages.

Take a look at: How to set up letterhead or some other document where you
want one header on the first page and a different header on other pages.
http://www.addbalance.com/word/headersfooters.htm This gives step-by-step
instructions.

Hope this helps,