A family of Microsoft word processing software products for creating web, email, and print documents.
Are you trying to change one of the headers that is in the drop down Insert > Header?
If so, that is a Building Block.
Select it after you have made the changes and then, under Insert > Header, choose to save it to the Header Gallery.
To change an existing header in that Gallery, you have to give your header the same name and category and save it in the same template where it currently resides. The ones that come with Word are in the Built-In Building Blocks.dotx template. I would instead give it a name like _MyLetterhead and save it in a custom category named _MyBuildingBlocks. That way, it would show up at the top of the menu.
Far better than saving it as a building block, though, in my opinion, would be to save your letterhead as a template and use that template as the basis for new letter documents.
That is the easiest way to implement the "Different First Page" setting for all of your letters. It makes it much more likely that your letters will have a consistent look. It is far easier for others to use, as well.