If you install the International keyboard you can do umlaut accents with @+vowel äëïöü or '+vowel for áéíóú `+vowel for àèìòù ~+letter for ñãõ etc. Left Alter Shift to switch between regular and international keyboards or put an icon in the system tray.
Graham is correct. The ï in naïve is a diaeresis and is used to show that it is not a diphthong which is the rolling together of two letters into one sound.
Right, now that the English lesson is out of the way I'll move onto something more practical. I use Word 2003 and naïve is already in AutoCorrect. As it doesn't seem to be in your version you will need to add it as follows. In Word type the first two letters 'na' then hold down the CTRL and SHIFT keys while pressing the colon/semicolon key, then let go and type the 'i' followed by the final 've'. You should now have naïve. If it's the first word it will probably be captialised automatically when you press the spacebar so just press CRTL+Z to get rid of the capital letter. Now highlight the word and copy it. Open Tools, AutoCorrect and type naive into the 'Replace' box and paste the copied naïve into the 'With' box. Click OK and AutoCorrect should now automatically correct naive to naïve as you type.