From what I've seen in the documentation pages you need to add the footer to each page. This code project article has a decent code sample using OpenXML for Word. To get a understanding of footers see these docs.
A basic code sample
private static Footer GeneratePageFooterPart(string FooterText)
{
var element =
new Footer(
new Paragraph(
new ParagraphProperties(
new ParagraphStyleId() { Val = "Footer" }),
new Run(
new Text(FooterText),
// *** Adaptation: This will output the page number dynamically ***
new SimpleField() { Instruction = "PAGE" })
));
return element;
}
And if you are not currently working with OpenXML see my Microsoft article Office Word Basic operations: Open XML SDK 2.5 Office Word documents were there is a validator method to check if code written is valid markup for a word document..
Why use OpenXml? Performance, more control over generating files while the disadvantage is generally more code and not always the best documentation.