With your cursor in the text where you wish to insert the footnote, click the References tab, and then Insert Footnote.
This will insert a superscript number at the cursor location and add a corresponding number below the text on the same page. The cursor automatically relocates itself against the number at the foot of the page, where you will type the reference or note.
Repeat this process to add further footnotes. Note that the numbers automatically adjust to consecutive numbers even if you insert footnotes in an earlier part of the document.
Chicaglo Manual of Style: Footnote number size
The Chicago Manual of Style suggests that the footnote numbers at the bottom of the page are written as "normal font", however Word defaults to a superscripted number. Chicago notes that the word processing default is acceptable to use. See the link to chapter 14.24 below.