You can certainly use the Office API in C# to generate Word files. The problem is, you'd first have to parse the HTML content to work out exactly what document elements to create (and that's the really hard part).
Also; exactly what do you want to export - the entire page, including layout and all? Or just the body content (presumably with heading)? Images as well?
The question to consider is what aim are you trying to achieve; why do you need your content in Word, and perhaps there's a better way to reach the same end.
Also don't forget that Word can easily import HTML, which saves you the whole thorny task of parsing and converting it yourself!