I don't think there is any other part of Word that people find as frustrating as headers and footers.
Jay is correct of course. If you want different headers OR footers between chunks of a document, they MUST be separated by a section break.
"Whether I'm in "go to header" or "go to footer" and click on "different first page" it will automatically change the other to the same option. It won't let me select opposite options for header and footer."
Yes, it will always change the other because they can NOT be different. If a section has different first page, then that different first page applies to BOTH header and footer in that section. You can NOT have separate options.
So.
Set Different first page.
Put in your header.
Put in your footer.
Make Link to Previous OFF for the other header, and remove the header content from the other header.
Make Link to Previous ON for the other footer.
The header will show on first page, but not the other pages.
The footer will show on all pages.
It is also a good idea to put in your section breaks first, then do any corrections (Link to Previous and the content) working from the first section onwards. If you do not know what you are doing trying to work back and forth jumping from
sections can get VERY frustrating.