Check to make sure it is turned on. Go to Tools, Options, Spelling & Grammar
tab,
and under Spelling make sure the options you want are checked. Click okay.
If it doesn't activate right away, close and reopen your document.
The two most common reasons (that I've seen) are that (1) the language of a
section is set to "Do not check," or (2) somebody who was in the document
before you has run the spell checker and has marked those words as correct.
That means that you need to either uncheck the "Do not check" box under your
language tools, or you need to click the "Recheck Document" button under your
spelling and grammar settings.
The way to change those things varies on which version of Word you're using.