If I put the words excel custom paper size into google the first hit is http://www.ozgrid.com/Excel/free-training/excel-lesson-29-basic.htm saying that there is a button to do so. But - let me repeat the warning it gives - it's dependent on the printer used. It's not an Excel feature, it's a feature of the printer driver.
So back to the printer manual or help or web-site or just start looking for it.
Hope this helps.
Is there any way to create custom document sizes rather than the list supplied. I have to put info onto a preprinted form that differs in width and height to any print size options.