I had the same inquiry a fe"w minutes ago. I needed to show on my document proof lines number for a 2 columns document.
I found out! It's easy (and awkward).
1) remember : Word is not truly a WISIWIG programming tool (What You See Is What You Get) when it displays on computer screen. Mostly because of the stacking of the layers (or layout as well), which is problematic with stack of multiples transparent parts - Ask Bill "billy-o-nary" Gates. In order to proove it, insert a .eps figure, it will look awfull on the screen, but it will be printed perfectly.
2) PDF is a WISIWIG stuff. As a result, it print on screen just like it print on paper.
The response is quite directly following from the previous discussion.
1) push the button for line numbering. You will see numbering (discontinuous depending on the options) only for the left column and nothing for the right column. It's OK.
2) saveas pdf format file - using your virtual pdf printer - and the numbering of the right column will appear left indented and flawly stacked on the right margin of the first column (try it). This flaw would be emproved dealing with column margin. I don't think you can order Word to right indent these later line numbers - maybe using programming itself but its highly doubtfull.
Don't give up with Word! Or else... remember always that Latex is much more difficult to work with, especially dealing with special features Word handles pretty well - even if sometimes...