http://office.microsoft.com/en-001/word-help/save-as-pdf-HA010064992.aspx
Save as PDF option may depend on having Acrobat installed. However, loads and loads of free alternatives, as per Alan.
One of the most common ways is to install a PDF converter registered as a printer. That way, you can simply "Print" selecting whatever it is you've installed as a printer and it will convert whatever you print into a PDF - not limited to Word, but to anything you can print.
Personally, though, having purchased and installed Adobe Acrobat, I'm not going to go back... It was worth the few quid to get some software that does so much extra.
G