Did some digging on Microsoft's site and came up with this page:-
(Q) Can I add custom border art to the border designs that ship with Word?
(A) No. The border art is stored as a collection of designs in a *.bdr file in the C:\Program Files\Microsoft Office\Office\Borders subfolder.
These images are not available in individual graphics formats such as Windows Metafile (WMF), Tag Image File Format (TIFF), or other graphics formats. In addition, you cannot insert these images into a Word document by inserting from a file (on the Insert menu, point to Picture, and click From File).
Does anyone know of a way around it or am I stuck with adding pictures manually and saving loads of documents to build a library?