In MS Word, clicking "Select All" and then pressing F9 will update all fields
in a document, except for fields in the headers and footers. Is there any
one-step way to update all fields in a document, including the headers and
footers?

Dawn,

If you have "update fields" selected as a print option then you can
quickly update field, including the header and footer, by toggling in
and out of print preview. Otherwise you can us a macro:

Sub UpdateFields()
Dim oStory As Range
For Each oStory In ActiveDocument.StoryRanges
oStory.Fields.Update
If oStory.StoryType wdMainTextStory Then
While Not (oStory.NextStoryRange Is Nothing)
Set oStory = oStory.NextStoryRange
oStory.Fields.Update
Wend
End If
Next oStory
Set oStory = Nothing
End Sub

Since I don't know when I would ever want to selectively update a
single field I have set this macro to run with the keyboard shortcut F9.