Those instructions are for the latest Windows versions. Here is a parallel page for the MAC versions by John Korchok. If you are using Word 97-2003 look for the link on Shauna Kelly's page for those versions.
After you have the needed paragraph style for each level, Shauna Kelly's instructions start with the Define New List Style dialog rather than the Define New MultiLevel List dialog. For the most robust numbering this is needed. It takes you to defining the MulitLevel List as a step in the process. Many times you can skip directly to the Define New MultiLevel List dialog, but you should know that this occasionally fails.
Essentially, you need to link each level in such a list to an existing paragraph style. You apply the numbering in a document by applying the styles.

You can do this directly by opening the normal template for editing, or using the Style Organizer to move the styles to that template. When using the Organizer, be sure to copy all of the related styles at the same time and copy them three times, overwriting existing styles. So you would want to be copying Number1, Number2, Number3, and Number4 at the same time and doing this three times.

Ouoting my page on the Organizer:
I have found it best when copying styles using the organizer to copy
them three times if any of the styles is based on other styles or is
followed by other styles. I'm not sure why this makes a difference,
but I've found that clicking on that copy button three times means
that these relationships continue in the destination template. I know
that when I copy them only once, they do not and the styles are then
followed by the Normal style.
Here is a screenshot from a new document after copying the styles using the Organizer.

Here is a temporary link to the document in which I added the numbering. It is very important to follow the procedures in Shauna Kelly's page when creating this.
- Create unnumbered paragraph styles or use existing unnumbered paragraph styles.
- Define new Multi-Level List.
- Click on More Button
- Give list a Name
- Attach a separate paragraph style to each level
In setting up your indentation through the Define New Multi-Level List dialog you want to keep in mind how alignment of numbers work. Here is MVP Suzanne Barhill's page on Number Alignment.
Here is a good YouTube video on setting up numbering with a List Style and MultiLevel List linked to styles. They may help clarify the instructions. I think it may be worthwhile to first read the instructions and then watch the video.
Styles in a multilevel list, when properly set up, can be a part of a [Quick] Style Set or transferred using a macro that uses the Organizer method.