You will have to convert the pubmed xml file into a Word bibliography xml file using some third party tool.
One such tool is BibUtils (http://www.scripps.edu/~cdputnam/software/bibutils/). It uses the MODS format internally. You can use med2xml.exe followed by xml2wordbib.exe. You will have to verify
the conversion process as there will probably be loss in precision between PubMed xml and MODS, and betweens MODS and Word bibliography xml.
There is also a Memento plugin for Word which converts data from other formats (http://findnwrite.com/blog/?p=4). The software contacts the memento service online to do the conversion, so I'm not entirely thrilled
on that subject. I also don't know how the conversion happens. There could be some kind of internal format as well causing loss of precision due to two conversions.