Roadman's answer is, indeed, valid for Microsoft Word but I'll point out that in Windows 10 and 11 anything at all that can be printed onto paper (whether that be a Word file, a photo, a spreadsheet, this web page or absolutely anything else) can be saved as a PDF document, without the need for any additional software at all.
Simply go to File > Print (or press Ctrl and P together). Then change the printer that you want to use from your normal (physical) one to a (virtual) printer called 'Microsoft Print to PDF', which you'll find in the list of available printers.