I would insert an autoshape of the border, the same size as the page border would have been. 2007 is not the easiest Office Suite to get used to - I still have to click and click before I find what I'm looking for.
For using the built in-borders, you have to section the document first.
Page layout tab, breaks, section breaks has to have the breaks set first. Then you can go to the page borders. When you set the page borders, the "Apply to" area will have a pull down that lets you choose "this section only". When you are doing that, you need to be on the page you are setting.
I got it to work on mine.
Oh, and you can pull down some of the canned border art there, in the middle column, under "Art"... and re-color the black and white ones just above that setting.