This little test seemed to work, start a new Standard EXE, cut and paste the following code, set a Reference the the Word Library, and press F5. It should open up ten documents and then displays the count in a msgbox in the VBIDE. Just close the form, upon exiting it will try to kill each individual document and then will continue setting the word app object var to nothing until it is actually nothing.

Code:
Option Explicit
Dim wdApp As Word.Application
Dim intCount As Integer


Private Sub Form_Load()
      Set wdApp = New Word.Application
      For intCount = 1 To 10
            wdApp.Documents.Add
      Next
      wdApp.Visible = True
      MsgBox wdApp.Documents.Count
End Sub

Private Sub Form_QueryUnload(Cancel As Integer, UnloadMode As Integer)
      Dim objDoc As Word.Document
      On Error Resume Next
      If Not wdApp Is Nothing Then
            For Each objDoc In wdApp.Documents
                  objDoc.Close False
            Next
      End If
      wdApp.Quit
      Do Until wdApp Is Nothing
            Debug.Print "Die Word Die!"
            Set wdApp = Nothing
      Loop
End Sub