Follow the directions in the section "add a custom page number" here:
http://office.microsoft.com/en-us/w...ers-footers-and-page-numbers-HA010372690.aspx
What your running into is that office is trying to offer you a styled or templates page number, but the styles weren't loaded on your system, or are somehow inaccessible over the internet.
But just adding a field doesn't require the styled or templates, so it should work for you.