It may just be that the border is outside the parameters of your printer.
Try setting the border closer to the text - Format, Borders and Shading, Page
Border then click the Options button bottom left of the dialog box. Change
the 'Measure From' setting to 'Text' and see if that makes a difference.

"WMock" wrote:

I want to have a page border on one page (only) in the midst of a several
page document. To get the border on only the one page, I started a new
section, then set the border to apply to this section first page only. I
would think there should ba an option to simply "apply to this page only,"
but I find no such option.

The border appears as selected on the screen. When I print the document,
the border does not print with the border on the page.
Windows XP w/Service Pack 2; MS Word 2003; HP LaserJet 4000 printer