You should be able to do this (in Word 2002 or 2003) by choosing legal as
your paper size and using "Book fold." Page numbering (that is, what number
is printed on the page) is another issue, but Word will order the pages
correctly (using absolute page numbers) for a folded booklet. "Book fold"
does have some printing issues when you try to print specific pages, and a
few other bugs (such as that "Mirror margins" are reversed), but it does
work correctly as far as it goes. Note that Word displays the pages of a
booklet in 1-n sequence, but it will print them in the order required for
the folded booklet.

If you are dissatisfied with the "Book fold" feature, see
http://word.mvps.org/FAQs/Formatting/BookletPrinting.htm for other options.