When you visit that website, and the pdf file loads into your browser window, select Save As from the File menu, then select a location to save it to on your local drive (e.g. your desktop).
Also you may want to know that pdf files when converted to Word become something like an image in the word document (you will not be able to edit it). In order to edit pdf document you need two things 1) you must have the full acrobat application (not just adobe reader), and 2) the author of the document in question must have not disabled editing his/her document.
As for that particular pdf page, it appears to be a sample form which is not meant to be edited or modified. So converting it word will only create an image of it in a word document.
Hope this makes it clear.
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