A family of Microsoft word processing software products for creating web, email, and print documents.
Many options from the full version of Word, meaning the desktop version that runs under Windows or MacOS, are not available in the web browser version of Word, which is rather limited.
Instructions that you have seen online are almost certainly written for Word for Windows desktop.
Also, the web browser version of Word can't be customized.
What you can do is send feedback to Microsoft by using Help > Feedback in Word for the web.