There is information here:
http://office.microsoft.com/en-us/assistance/HP010981031033.aspx

It basically says:

To create a print view for Word, you must have access to an existing
Extensible Stylesheet Language Transformation (XSLT) file that transforms
Microsoft Office InfoPath 2003 form data into a Word document. This XSLT
file must be created using Microsoft Office Word 2003.
For information about creating the XSLT file, refer to the Microsoft Office
InfoPath 2003 Software Development Kit (SDK), which you can download from
the Microsoft Office Update Web site or browse at the Microsoft Developer
Network (MSDN) Web site.

In design mode, click Manage Views on the View menu.
Under Actions in the Views task pane, click Add Print View for Word.
Follow the instructions in the Add Print View for Word Wizard to specify the
XSLT file you want to use for the Word-based print view.
In the Select a view list in the Views task pane, click the view for which
you want to designate the Word-based print view, and then click View
Properties.

Note  If the Views task pane is closed, click Manage Views on the View menu
to open it.

Click the Print Settings tab.
In the Select an existing view to use when printing this view list, click
the Word-based print view.

Hope that gets you started in the right direction...

--josh bertsch