You can't do it through Word. Some printer drivers allow you to define
custom sizes. In the case of my printer (LaserJet 4100), this option is not
available in the printer Properties when accessed from Word's Print dialog,
but if I use Start | Settings | Printers and Faxes, right-click on the
printer, and choose Properties, I get a tab that permits defining a custom
size.
If you find that your printer doesn't offer this option, your next-best bet
is to create a template in the desired size.