Nope, its a bug..heres Microsoft lame fix?..
The information in this article applies to:
Microsoft Word 2002
When you select a file in the Open dialog box, right-click the file, and
then click Print on the shortcut menu, you receive the following error
The command you selected is not available from this shortcut menu.
To work around this behavior, do one of the following:
In Microsoft Word, open the document and then print it.
In Windows Explorer, select the document, right-click the file name, and
then click Print on the shortcut menu.