Because AutoCorrect automatically replaces text as you type, you should use unique words or abbreviations as the Replace text.
For example, if you are creating an AutoCorrect entry for the Euro symbol, don't use the word "Euro" in the Replace box, because then whenever you type the word Euro it will automatically be replaced with the symbol, and chances are you will want the word itself to remain now and then. You can always Undo the change to return to the word, but that assumes you're paying close enough attention to Word to spot the change.
Instead, use unique words or abbreviations as your "Replace" text, such as "eurosym". That way, when you really want the Euro symbol, you can get it easily by typing eurosym, but you can continue to use real words like "Euro" without them being accidentally changed.