That sounds like a homework question, which we don't usually respond to --  
it is, after all, _your_ homework. But in this case, it's hard to find
anything useful in Word's help or any of the standard references.

A side heading usually refers to one that's completely in the margin next to
the text, rather than in a paragraph between regular text.

For help with how to do it in Word, read
http://sbarnhill.mvps.org/wordfaqs/MarginalText.htm.