Sometimes we don't find this option in our microsoft word, especially after re-insatalling our pc. So you need to download this add-in for your msword directly from microsoft and then install it, and then this option will appear in you msword.
This add-in named 2007 Microsoft Office Add-in: Microsoft Save as PDF or XPS, and here is the page you should reach to get this add-in:
http://www.microsoft.com/download/en/details.aspx?id=7
Copy the link and paste to browser address to reach the page, read the instruction for installation.