How can I change settings, turn features off or on, and alter the way Word behaves?

Most of these settings are on the Tools menu. The Options command will display a screen that contains several tabs where you can make all sorts of changes that affect Word's behavior. The Customize command allows you to change Word's menus and toolbars. The View menu has some options for changing the appearance of the Word screen.

The rest of the answers in the Word Annoyances section and in the Word Screen section cover a number of the various ways you can customize Word and alter its behavior.