This is a very interesting question, but I'm afraid there's no good answer to it. Copy-and-paste cell by cell seems the only option. It could be that higher versions of Office, such as the coming Office 2006. will be of more help, but I don't think it can be done with Office XP.

If you try write such a conversion, you'll encounter several difficulties, like:
- the table can be build by dynamic html
- a cell can contain an image, an flash object or another table
- cell width can be dynamically assigned by the html rendering engine
- you will either have to skip formatting (like fonts and font sizes) and use only the textual contents or translate them to their Word equivalents.

Here are two sponsored links from google for html-to-office-conversion. These programs aren't free.

Have a look.