Are u using word 2003 or 2007? if you're using word 2007, there should be a office plug-in to help you directly save word document as pdf file, so you just go to microsoft's website to download this plug-in. but if you're using word 2003, I'm afraid you have to use a 3-rd party software, you can refer to this article about **broken link removed** to find this useful tool which not only help you convert word to pdf but also create pdf document from html,txt,ppt and image.