If you really want to write MS-Word docs rather then RTF (see boo_radley above) then you've got two possibilities:

1. Reverse engineer the current MS-Word format and write your own code to generate this format. Apart from the fact that MS would be really thrilled about this, be aware that the format changes regularly. Yeah, I think we agree that this is a non-starter! So that leaves
2. Use OLE. What you'd need to do is to call VB functions to write the document for you. This really isn't all that difficult, if
   • you have all the help for MS Word VB on your system;
   • you use the object browser in the VB editor (accessed by (Tools->Macros->Visual Basic) and then (View->Object Browser)) to find methods, attributes and constant values.

I really don't know of any other options.

Update Oh, I forgot to say that the second solution isn't very portable ;)