You may have dragged the mouse pointer when it did not resemble a two-headed arrow. You can control both page margins and paragraph indents from the ruler, and what you change depends on the mouse pointer shape at the time you drag. Hover your mouse pointer over the ruler icon you want to drag, and a ScreenTip tells you which icon you've chosen.
If you select text before changing margins in the Page Setup dialog box and then choose Selected Text in the Apply To drop-down box, Word creates a new section for the text you selected and starts the new section on the following page. If you already had a Next Page section break immediately preceding this, you now have two consecutive section breaks, each starting a new page. You also have one blank page. To eliminate the blank page, you can replace the first Next Page section break with a Continuous section break.
In the future, when you encounter this situation, while you are still in the Page Setup dialog box, click the Layout tab and select Continuous in the Section Start drop-down list. When you click OK to dismiss the Page Setup dialog box, the new section is created with a continuous page break, so there is no blank page.
To create a separate first page header in every section, you must specify the first page headers individually. There are two ways to do so. You can place the insertion point in a section, open the Page Setup dialog box, and place a check in the Different First Page check box; then move to the next section and do the same. Or you can display the Header and Footer toolbar and use the Show Previous and Show Next buttons to navigate through the document, correcting them one at a time from within the Page Setup dialog box.