Custom size
3.9*8.9
Envelope
<Yes, this shot is not an envelope, I don't have a number 9 and simply used a piece of scrap cut to size per here>
In Word, open any blank thing and select File > Print and do this (because the Envelope wizard won't let you do so then)
Now do the wizard stuff exact as seen here (Trust me, even though I am showing you the exact opposite of what you told the printer)
This exact setup will work perfectly assuming you want to print on the bottom side of the envelope. If you need something else, Word can do the rotations (Feed option next to the Preview on left most part of screenshot) or you can simply change how it is loaded (Rotate by 180 degrees, change face-up vs face-down only)