Word 2007: Click Office button | Save As. In the Save As dialog box, click
Tools, and then click General Options. Specify a "Password to open." Click
OK. You will be prompted to repeat the password. After you've done that,
click OK.
Word 2003: Click Tools | Options, Security tab. In the "Password to open"
box, type a password, and then click OK. In the "Reenter password to open"
box, type the password again, and then click OK.