A family of Microsoft word processing software products for creating web, email, and print documents.
The box Doug is referring to is not for an entire document but for selected text. If you have no text selected, it is unlikely to change anything. Start by doing Ctrl+A to select all of your document body's text. Then check the setting under proofing language. The box should be empty. If it is checked or filled in without a checkmark, you need to check it until it is empty.
See Mastering the Spelling Checker which contains information useful to anyone trying to understand how this feature can best be used.
If the steps I outline do not solve your problem, the problem is likely in your Style settings with one or more Styles being set to not check spelling or grammar. Understanding Styles in Microsoft Word
There are two dialogs that deal with spell checking. The one you mentioned in your post is the one about checking spelling in the document.
The one shown above is unlikely to be the source of your problem. Is that the one that keeps checking itself again?
The one that is likely the source of your problem is a setting for selected text and is found under the Review tab.
Here are screenshots of the three states.