I do Insert>Reference>Index and Tables>Tables of Contents etc. and page
numbers are included. If updates don't happen automatically, press F9.
Following is from Word help (F1):-
The easiest way to create a table of contents is to use the built-in
outline-level formats or heading styles If you are already using
outline-level formats or built-in heading styles, follow these steps:
1.. Click where you want to insert the table of contents.
2.. On the Insert menu, point to Reference, and click Index and Tables.
3.. Click the Table of Contents tab.
4.. To use one of the available designs, click a design in the Formats
box.
5.. Select any other table of contents options you want.
If you aren't currently using outline levels or built-in styles, do one of
the following:................ (more on help)
Hope this helps.
Epinn