Think its some thing like: file-->print then select the Adobe Acrobat PDF option instead of the usual printer (HP,Lexmark,PBell etc..). Obviously you may need to install Adobe Acrobat
Edit: that's the old way. Alternatively there should be a "convert to adobe pdf" option in MS Word on the toolbar.
This way will keep bookmarks etc..http://www.adobe.com/products/acrobat/ That's where you but it ar you could get it illegaly.
I just learned how to do this yesterday but I got my hands on Adobe Professional which allows you to create pdf's. You definitely have to have the relevant software to do it.