There is no direct saving from within the Mail app. You'll have to open the attachment by opening another app - which you can then use to save the document. Note that the document will only be saved in the app you choose - it won't be accessible to any other app...
So, to save:
Press and hold the attachment. You should get an "Open In" dialogue box. If you have an app that'll read that Word file (e.g. Goodreader, DocumentsToGo, etc.), you'll be offered a chance to open that Word file in that particular app.
Now, in my experience, opening the file in Goodreader means that file is automatically stored in Goodreader (as in, you could delete the e-mail and Goodreader will still have the file for later access). This is NOT the same for DocumentsToGo - for that, you would have to use "save as" within Docs2Go to save it to the iPad.
I've only talked about 2 office programs - there are many. However, the easiest to use (IMNSHO) is Goodreader, mainly because of it's auto-save feature.
Of course, and as always - YMMV.
Marilyn
P.S. Wow! Everyone types so much faster than I!