The Save All command used to be a hidden feature of Microsoft Word, unlocked by holding the Shift key while selecting the File menu. But this won't work in recent versions of Word. Fortunately, it's easy to add to your Quick Access Toolbar.
Go to Word Options (under the File menu in Word 2010 and the Office button in Word 2007) and select Quick Access Toolbar, or just click the little down arrow at the far right side of the toolbar itself.
Now choose Commands Note in the Ribbon, scroll down to select Save All, and click Add:
Now you can click the Save All button in your Quick Access Toolbar to save all open Word documents at once: