To install the MS Word plugin, go to "Tools" in Mendeley Desktop:
When installed the plugin will appear as below in Word:
You may have to restart Microsoft Word for the new installation to appear.
Video courtesy of the University of Guelph Library
If you don't want to install the MS Word Mendeley plugin, you can cite using just MS Word and your Mendeley Web Library:
On Mendeley Desktop:
Click "View" → "Citation Style" → "More Styles" to see and select all installed citation styles.
If you don't see the one you need, click "Get More Styles." You can search for the one you need for your work.