This is possible to do, but it is a kind of hack. First, publish your form to a form library. Then you will need to go into SharePoint top-level site administration and create a new content type (Site Actions --> Site Settings --> Modify all site settings (Make sure you are at the top level of the site collection) --> Site Content Types). The content type should inherit from Document parent content types and be of a document format.(Also, it helps to save it in a new group - if you save it in an existing group, it is harder to find.) Then you will need to modify your content type to include a blank word document. You can do this by opening up Word and creating a blank document, giving it a name and then uploading it to the content type (Advanced Settings --> Upload document). If you do not do this, your library will generate another blank InfoPath form after you add your content type to the library, so you need to put your blank Word document in there.
Once you have your document in there, browse to the form library where you published your form. Go into Settings --> Form Library Settings --> Advanced Settings. There you will see the option "Manage Content Types". Click yes on that and then click OK. On your Form Library Settings page, you should now see a section called "Content Types." Click Add from Existing Site Content Types and choose your content type you created. Once you add that to your library, when you go to your New button on the library, you will see your new "blank" document and be able to create Word files from your form library.
If you need any additional help, please let me know.