You can run Spelling and Grammar checking in Word by clicking on the ABC icon on the Standard toolbar (it's on the Review ribbon in Word 2007), going to Tools> Spelling and Grammar, or just hitting the F7 key.
As you go through the document, you may find areas that you would like to correct. You don't have to close the Spell checker, just click into the document, make the changes and click Resume in the Spell checker dialog box.
You can also flip focus to the document with Ctrl+Tab.
Then go back to checking with Resume.