Okey, I use Office XP (2002) but it's possibly the same. I'll probably display my bad english, trying to explain ...
... since my computer speaks Swedish.
Anyway, to test I opened Word 2002 to create a new document. The first thing I did was to click "Insert" > "Page number". In the dialog box that appeared, I unchecked "Show on first page", clicked the "Format button" > clicked the radio button for "Start with" and scrolled down to "0".
After that, there was no page number on the first page and when I expanded the document to include a second page, page #1 appeared on the second page.