Step-by-step guide
A) On the Tools menu, click AutoCorrect Options, and then click the AutoFormat As You Type tab. Select the Hyphens (--) with em dash (—) check box.
OR
B) Click on "Insert" then to the left click on "Symbols." Then click on "More Symbols.” Click on "Special Characters." Make sure "Em dash" is highlighted and click on "Insert" and then "Close."
Click here for additional em dash shortcuts.