If you are able to have students email work to you for feedback, there are a number of ways you can do this using MS Word (and many other word-processors):

1. Insert menu | Comment
Advantages: You can write as much as you want, pointing out the correction to be made and explaining why the correction is needed.
Disadvantages: Students need to be shown how to remove the comments if they are going to re-edit the document.

2. Tools menu | Track changes
Advantages: You correct the student's work and the word processor will show where changes have been made. This can be printed as well, or turned off if a "clean copy" of the document is desired.
Disadvantages: Students might not get the opportunity to learn why the changes were neccessary.

3. Tools menu | Compare and merge documents
Advantages: Like track changes, the word processor will show where changes have been made and what was there before the change.
Disadvantages: You need to remember to save a copy of the student's work as a new file before you start.

4. Use a marking toolbar (macros)
Advantages: Very fast way of indicating to the student where and what type of corrections need to be made. Makes the student review their own work.
Disadvantages: Needs to be installed. This can be tricky, but once set up, is as easy as selecting a word or phrase and clicking a button. This then highlights the text and inserts a comment about what type of error the student has made. See Marking Student Work on the Computer for examples and downloads.

Some of these ideas I use in my own teaching, a couple are thanks to a colleague at a workshop last year.