It sounds like you don't have all the needed components of Word installed. Think you may need Web Page authoring and HTML conversion pieces to do this properly.
For authoring tools:
1. Go to Word Setup and choose to Add/Remove components.
2.In the Maintenance dialog box, click to select the Web Page Authoring (HTML) check box in the Options list.
For the HTML Converter (Still in Setup in the Maintenance dialog:)
1. In the Maintenance dialog box, click to select Converters and Filters in the Options list, and then click Change Option.
2. In the Option list, click to select Text Converters, and then click Change Option.
3.In the Options list, click to select HTML Converter.
4. Click OK twice, and then click Continue.Updated Word web tools from Microsoft are available at: http://office.microsoft.com/downloads/9798/wd97au.aspx
Once you do this, you should be able to convert the HTML and save in Word format. Beware, however, since Word will occasionally do interesting formatting on copied information, and you may have to reformat the resulting text.
Hope this helps,
Clint
