In Word 2003, from the menu:
Click Format > Bullets and Numbering... to open the Bullets and Numbering dialog box.
Click the appropriate tab if necessary, and then click the Customize... button to open the Customize Numbered List dialog box.
Tweak settings from among the many available to get exactly what you want.

For Word 2007 or 2010 [I don't use these], I would assume there is a simlar set of controls, just not accessible from a menu. Look around on the Ribbon's formatting tab. Or on the lower-right corner of the tab, click the too tiny "Damn, it's not obvious how to find what I need" button.