Sorry, not possible to kill the new doc at launch. I don't know how you
did it in Word 2004/X/2001/98 either. That new document should disappear
if you then immediately open a new document, however, so it shouldn't
get in your way.
(Technically, it might be possible to automatically close that new
document on launch by writing some code, but I can't imagine it's worth
the trouble)
Slightly different issue, not related to launching Word, but just to
activating it: Word 2008 does have new behavior that if you click Word
in the Dock, and no documents are open, it creates a new document. This
is Apple-influenced behavior that's becoming a standard in Mac OS X, so
Word adopted it also. If you don't like it, use Help | Send Feedback to
let MS know.
In the meantime, you can work around that by using Cmd-tab to switch to
Word, instead of clicking in the Dock.