There is no built in functionality to do something like this. You will have to do this programmatically. There are tons of samples out there in the web about creating Word documents in C# code. You will have to develop either a plugin or a custom workflow activity that implements this functionality and register it to your entity.
For further information you can refer to this link as well:
social.microsoft.com/.../6ccf8b37-daf9-4ac5-83a4-9d14c7fef2ab