Here are two ways to go about it:

(1) Iterate through the entire Styles collection, checking to see
whether any of them have the name you want to use...

   Dim oStyle As Style, NewStyle As Style
   Dim bFound As Boolean
   Dim strNewStyle As String
   
   strNewStyle = "FaxHeader"
   
   For Each oStyle In ActiveDocument.Styles
       If LCase(oStyle.NameLocal) = LCase(strNewStyle) Then
           bFound = True
           Exit For
       End If
   Next oStyle
   
   If Not bFound Then
       Set NewStyle = ActiveDocument.Styles.Add( _
                       Name:=strNewStyle, _
                       Type:=wdStyleTypeParagraph)
       NewStyle.BaseStyle = ActiveDocument.Styles("Normal")
   End If

(2) Use error-trapping. Try to use the style; if it doesn't exist, the
Err.Number property is assigned a nonzero value...

       On Error Resume Next
       If LCase(strNewStyle) <> "normal" Then
           rgAT.Style = ActiveDocument.Styles(strNewStyle)
           If Err.Number <> 0 Then
               Err.Clear
               ' define & apply style
               Set NewStyle = ActiveDocument.Styles.Add( _
                       Name:=strNewStyle, _
                       Type:=wdStyleTypeParagraph)
               NewStyle.BaseStyle = ActiveDocument.Styles("Normal")
               On Error Resume Next
               rgAT.Style = ActiveDocument.Styles(strNewStyle)
           End If
       End If

--
Regards,
Jay Freedman
Microsoft Word MVP         FAQ: http://word.mvps.org