Yes, KWord kan do this. Select "save as" and choose "latex". Say you save this to "file.tex", now open a command shell and type: pdflatex file.tex .
This will give you a nice typeset file.pdf (plus some other output files you can ignore for now). View this with kghostview, acrobat reader or xpdf.
You are of course free to edit this file before you typeset it, to change fonts or other things that may not come out as you expected. KWords export filters aren't the best around, if you like the technology you may want to check out Lyx, which is another KDE program more specifically designed to create LaTeX files.