Hi Explosive0,
There are a couple ways to do this. You can specify a Word Print View that prints through Word. This is supported out-of-the-box for InfoPath Filler forms. Go to Page Design. Select New View and Word Print View and walk through the configuration dialog.
To export your XML data to a Word template that has XML field-mappings requires more work. We have done this kind of work many times before and we advocate using XSLT to transform the XML into Word's format. Dealing with XSLT is not easy. There are numerous editors though (Visual Studio, XML Spy), but I would allocate ~20 hours to get a prototype working.
Good luck!