PGN files are just stored as plain text documents. They're not really a file format themselves, they are just a way to express a chess game in text. You could open one in Word and save it as a text document, or use the distiller to print it out as a pdf document. But any chess program that reads pgns is going to be expecting it in text format.
File formats?

As ichabod says, you can just open a PGN file as text in Word, and then save as a doc.
You can open, and read pdf's with Adobe Reader or Adobe Acrobat. Some pdf's will allow you to highlight, and copy a portion of the text, so you could copy the moves of a game, and paste them into a game window in a program like Chessbase or Fritz. Some pdf's, especially commercial ones like ebooks, it is impossible to copy from, so you would have to retype the moves by hand.
Does anyone know how you would convert a PGN file into a PDF or DOC (either one is fine) file? Are there any programs that somehow read PDF or DOC as chess positions (such as Fritz) or would this request simply mean a PDF file that a human could read?