Please remember to state which version of Office you have! - see sticky

If you are using 2003, then:

Open the Task Pane 'View > Task Pane (Ctrl+F1)'
Choose 'New Document'
In the Templates section, choose 'On My Computer'
Go to the 'Other Documents' tab
There is a Batch Conversion Wizard there - it will take you through all the steps to batch convert one format to another!