You need to Add a document ;

use strict;
use warnings;
use Win32::OLE;
use Win32::OLE::Const 'Microsoft Word';

my $My_Word = Win32::OLE->new('Word.Application')
   or die "Problem with MS-WORD";
my $counter = 4534;
my $path = 'C:/temp/';

while(<DATA>) {
  chomp $_;
  $counter++;
  my $docx_name = $path.$counter.".docx";
  $My_Word->Documents->Add || die("Unable to create document ", Win32:
+:OLE->LastError());
  $My_Word->{'Visible'} = 0;
  $My_Word->{DisplayAlerts} = 0;
  $My_Word->Selection->TypeText ({ Text => $_ });

  $My_Word->ActiveDocument->SaveAs( $docx_name );
  $My_Word->{ActiveDocument}->Close;
  print "Created $docx_name\n";
}
$My_Word->Quit;

__DATA__
First Document
Second Document
Third Document
[download]

poj