Yea, It's not hard. Just go to the Tools menu, and then select Language. Changing this to Spanish will make Word use it's spanish dictionaries, if you have any. My versions of Word (v.X and 2004) have always had the Spanish spell check by default, but no grammar unfortunately.
Of course, when I first went looking to the Language menu item to turn it on, I couldn't find it for the life of me since Office stupidly allows you to customize your menubars.