A family of Microsoft word processing software products for creating web, email, and print documents.
In order to have a composite page number of any type (whether the first number is volume or part or chapter or some other number) and have the composite number appear in the TOC, you have to use the "Include chapter number" feature in the Page Number Format dialog. And the "chapter number" has to be the paragraph number of an autonumbered paragraph in one of Word's built-in heading styles.
You've gotten that far, and you're almost there. What you need to realize is that your "chapter number" doesn't have to have the word "Chapter" in it. All you need is to use a heading style that you're not already using for some actual heading level in the document. So let's say you're using Headings 1-3 in your document, and you have a TOC based on those styles. You've used Define New Multilevel List to apply numbering to some or all of those styles. So use Heading 4 (or any other lower level--it could even be Heading 9), but disconnect it from the other heading levels; that is, don't include any of the higher levels in the numbering. Also, set the "start at" number to whatever your volume number is.
Then, at the beginning of your document, insert a single instance of this heading (which will have your volume number; the text is immaterial) and format the entire paragraph as Hidden. Word won't care that the heading is Hidden; it will still pick up the paragraph number as the "Chapter number" because you've told it to use Heading 4 (or 9 or whatever) as the heading level to look at.