First make sure you have NumLock turned on. Then hold down the Alt key while
you type the number 0176 on the number pad, to get the ° symbol. This works
in all Windows programs, not just in Word.
In Word, the shortcut assigned by default is somewhat clumsy. Hold down Ctrl
and Shift while you press the @ sign, release those keys and type a space.
If you want something easier to remember, you can assign your own shortcut
key. See http://word.mvps.org/FAQs/General/InsertSpecChars.htm for
instructions.