There have been 3 attacks recently. You can protect yourself by not opening any Word files from someone you don't know.
Microsoft is aware of this problem and has issued a Security Bulletin MS06-027. A summary of the bulletin states: all customers using Microsoft Word need to be aware of this attack. It can be done remotely and can be critical. All users should go to Microsoft and download and install the update immediately.
At this time, Microsoft Word for Mac is not affected. Customers can further protect themselves by downloading and installing and using OpenOffice, a free suite of office programs similar to Microsoft, Lotus Notes and Corel. If you continue to use Microsoft Word, at least monthly, go to their web site and check for updates.