A footnote is a citation that appears at the end of a page. An end note appears at the very end of the work. You can do footnotes and end notes in MS Word.
Anyway, when you read a book, check out those little numbers after words or sentences that look like exponents. The number corresponds to a particular footnote where you can find the citation for the piece of information discussed.
By the way, there's a specific format (depending on what subject you're studying) for writing a footnote. For example:
6 Smith, John. _The American Civil War_. Simon & Schuster, 1998, pgs. 13-15.
You have to know what your teacher wants--MLA, Chicago Style, etc.--and you can look up the format online.
P.S. To find footnotes on MS Word, go to Insert>Reference>Footnote. You use the footnote feature after you've written the sentence or paragraph you want to cite. You can also go back and cite after you've written your paper, but I find it's easier to keep track as you go along. You should place your footnote after a sentence, not mid-sentence.