Some magazines that accept short stories prefer manuscripts to be paper clipped together, not stapled. If you're sending a book manuscript to an agent, or publisher, then most of them stipulate that printed pages should not be bound in any way. (They do this because it makes it easier for them to read the text, not to annoy you.) However, the drawback of this is that it's much easier to lose a page or to drop the entire manuscript and have to pick up the pages one by one. Heaven forbid the writer who hasn't numbered the pages in either the header or the footer, in that situation!
If you're using Microsoft Word, to view the Header section of your manuscript, go to View, then select Header and Footer from the drop down menu. Word will take you to the header, to begin with. (For other word processing packages, checkout the Help section for 'Headers and Footers'.)
What should you put in your header? Well, on the right hand side of the page I type my surname, the manuscript title (or an abbreviated version if it is quite long) and the page number. So, my header will look something like this:
Whaley / Manuscript Title / Page Number
Whatever text you enter into your headers and footers, it will appear like this on EVERY page. (It is possible to set this up so that it doesn't print headers and footers on the first page, if you give your manuscript a cover sheet, or title page.)
This means that if you manually type in 1, for page 1, then every page will have 1 on it. So, for automatic page numbering in Word, go to Insert and select Page Numbers from the drop down menu. This will automatically insert the correct page number on each page.
In the footer of the manuscript, I insert a method of contact, usually my email address. That's in case a cover sheet with all of your contact details goes astray. Does this happen? Yes! Read this post here. You can't expect every editor to go to the lengths this editor went to, to track down this writer, when her cover sheet was separated from the main manuscript. At least by putting some contact detail (email address or telephone number) in the footer, you know it will appear on every page of the document.
One final word of warning. Competitions. If you enter manuscripts into competitions, check your headers and footers. Most competitions judge entries blindly - so they do not want any marks on the manuscript that can be used to identify the writer - that means any names or contact details in headers and footers should be removed! Failure to do so, could result in your entry being disqualified, and that's a waste of your entry fee. Simply put the title in your header, along with the page number.
Using headers and footers means that should an agent decide to drop your manuscript across the floor of her homeward-bound train, or if a competition judge opens a window and lets the fresh air blow all the entries across to the other side of the room (both such situations have happened), then at least you know your manuscript can be brought back together again, without too much trouble.