While there is a way to have Word create a Table of Contents for you after you identify headers, this question was more about how to add the dots between the section title and the page number manually...
If you can't see the ruler at the top of the page, choose the View tab and check Ruler. Click on the ruler where you'd like your tab stop to be. Then, choose Format>Tab and in the dialog, choose the style of dots you'd like. Click Okay and dots should replace the spaces whenever you hit the tab key.
