What version of Word is it (2003, 2007 etc)?
Where did you get it from (retail box from say PC world, supplied with PC etc)?
Did you get the product key at the same time as the CD?
Is this JUST the Word product or the complete Office?
Have you installed it successfully before?
Note that Word / Office can be sold and packaged in a number of different ways (depending on the type of customer) and not all product keys work with all types of Word / Office packaging.
If you got the actual software from one place, but the product key from another, then there is a good chance there is a mismatch
You are probably trying to use a product key from one "package" of Word with a CD from another "package".