That takes some time. If you let Word compile them while you're doing other things, it saves time so that they run faster. In the Visual Basic window that appears, open Tools, Options. In the Options dialog box, click the General tab. Find and make sure there's a check in the box for Background Compile.
Word can read files from many other programs, especially other word-processing programs.
If you've moved to Word from some other program or you're working with someone who has many files in another format, you don't have to open them one at a time and then save them in the Word format. Choose File, New. Click the Other Documents tab. Double-click the Batch Conversion icon. This wizard can convert a whole bunch of files at once.