You can also use the
ps2pdf web-page. Go to the Print box in MS Word, select a postscript printer (you'll need to download a generic postscript printer driver if you don't have a postscript printer already installed), then select the "print to file" option. It will save the file for you (I believe with the extension ".prn"), which you must then upload to the ps2pdf website, and shortly afterwards a pdf version will be linked from their website. I've never been sure about how secure this is, but I don't have anything that is of any interest to anyone else.
It sounds like some of the solutions above might be slightly easier. In fact, for Word documents, I don't even bother using MS Word and just use OpenOffice from the start, in which making pdf's is very easy. However, I use the ps2pdf trick when needing to make handouts of presentations from Powerpoint (follow the same procedure as I described above).