In your original posting, you had not actually instantiated the object.
Instead of 
---  Dim wdApp As Word.Application 

Try Either
Dim wdApp As New Word.Application()

Or
Dim wdApp As Word.Application 
wdApp = New Word.Application().

That should work in an ASP.NET page.
I cannot get it work in a Web Service though. Anyone know why? I am 
getting out of memory errors on a machine with 512mb ram.