It depends upon which software you've got.
PDF is an Adobe file format. At one time you had to buy expensive software, from Adobe, to be able to create PDF files. There are now plenty of cheaper alternatives, which let you create a PDF file 'from scratch'. However, unless you require advanced features, it's often cheaper and easier to use software which converts an existing printable file (e.g. a Word document) into a PDF document. (Such files can't normally be edited but that often doesn't matter).
See here for some suitable free and paid-for software:
http://www.primopdf.com/
However, many people rate this as the best free product:
http://www.cutepdf.com/Products/CutePDF/writer .asp
Chris