I think you can do this in Word-- if I understand it correctly you have to separate each chapter into its own section using section breaks, and then add your page number header/footers with the 'Different First Page' option selected. There's some information here under the subheading 'Control the number format', assuming you're using Word 2007 or a similar version:
http://office.microsoft.com/en-us/word-help/add-and-format-page-numbers-HP001226513.aspx