A family of Microsoft word processing software products for creating web, email, and print documents.
If you have the check box for "Open file after publishing" checked (as it is by default), then the problem may be that there is no file association for the .pdf extension. You'll need to correct this outside Word. Find another PDF on your system (in My Computer), right-click on it, and choose Open With > Choose Program...
In the Choose Program dialog, select Adobe Reader, and check the box for "Always use the selected program to open this kind of file." Click OK. You can then close the PDF you've just opened in Adobe Reader and try again to create a PDF in Word.