Are you referring to newspaper or table columns? Newspaper
columns will be filled in the "logical" order, but you can
use Ctrl+Shift+Enter to insert a column break, if you want
to. In a table, just click in the desired cell, to access it.
If you need an overview of the various ways to create column
formats in Word, see the first section of the article at http://word.mvps.org/faqs/formatting/UsingColumns.htm.