Here's a solution that might work.

1. Go to the settings tab
2. Set Display Mode to 'Posts Paged'
3. Set Posts/Days per page to something really high like 999
4. Go to the blogs tab
5. Choose the blog you want to export
6. Change the default skin for that blog to 'Basic'
7. View the blog
8. At this point you could do File>Save As to get it into an html file on your local hard drive. From there you can burn a cd
- or -
8. Do Edit>Select all, then Edit>Copy, Open Word and Paste.

You'll probably have to play around with it to get it just right. An html file would be a better way of saving than a Word file, in my opinion. You could also edit the Basic skin if you want to get rid of some of the things it displays, like links to comments, etc.