I'm assuming you're using Word 2003 or 2007. I don't have earlier versions
running, so I can't check to see if things were different previously.
You have two choices. You can let Word automatically assign colors. Or, you
can choose a single color that will be used regardless of author. This is
fine if you're the only one commenting, perhaps otherwise, as well--it's up
to you. Unfortunately, you cannot assign specific colors to different
authors. Your choices will not affect how others see comments in your
documents. They affect only how you see them on your computer.
In Word 2003, right-click TRK in the status bar (it might be grayed out if
tracking currently is turned off), and choose Options. Next to Comments
color, choose either By author or a specific color.
In Word 2007, in the Review tab, Tracking section, drop down the Track
Changes tool and choose Track Changes Options. Next to Comments color,
choose either By author or a specific color.