I'd avoid using Word, as you want to do, in a Web service. You're only asking for a lot of trouble, as you'll be loading essentially one copy of Word into each connection that requests the report generation. That's going to chew up a huge amount of memory and cause lots of problems in your application.
What I'd suggest you look at instead is Crystal Reports, which comes with the Enterprise Architect version of Visual Studio. It's a scalable, server-based reporting product that will handle pretty much anything you throw at it.
This was first published in April 2004