A family of Microsoft word processing software products for creating web, email, and print documents.
It's not necessary to create a master document to format a book. Simple section breaks between chapters are enough to create all the formatting you need.
Word has a Master Documents feature, but I have to advice strongly against using it for a permanent set of subdocuments. It's so prone to corruption that Microsoft doesn't even document the feature on any of their pages. It's only safe to use if you create a master document, print it, then delete it.
Having warned you, here's a page that explains how to use it: How to Create a Master Document in Microsoft Word Please keep copies of all your subdocuments in a separate folder, so when the master document corrupts the subdocuments, you have something to go back to.