I'm using sw04 sp4.1 I just RMB clicked on the tap where it says sheet1 and said add sheet. Once I did that I got the sheet properties dialog box that allowed me to select the sheet format I wanted.
If you look at the bottom left of the graphics you will find the tabs for the different sheets you have added.
When start a new drawing and you used the default SW drawing template you get the option of picking the sheet used. If you cancel then the sheet will come in without a Sheet format (Title block). If you add a second sheet from there, then you not get a title block by default, but you can still pick it in the menu given. If you click cancel then you would not get one.
If you use a template that you made and it has a sheet format on it (Title block) then you add sheet 2 you get the same menu as before. You can pick the sheet size and border to use. You toggle the sheets like mentioned above.