You need to activate Hebrew in Windows. Go to Start > Control Panel >
Regional and Language Options, and then follow the tabs and buttons to
add a "Keyboard" (not to add a "Language"). The three Windowses do
this a bit differently. If you're in XP, at one point you have to
check off "Complex Scripts."
Once you've done that, you'll have a new icon toward the right end of
your taskbar, which initially will say EN. With the cursor in the Word
document where you want to type Hebrew, click on that and choose HE.
Then when you go back into the Word document, you'll be typing Hebrew.