Hi,
Not really. When creating a PDF from Word, it is just creating a static representation of the Word document. It does not know about the other Word documents that are attached.
You could create PDFs for all of the Word documents. Then when you open your root document in Acrobat, you can add the other documents as attachements (see the attachment panel).
You can then add links to the root document that can open the appropriate attachment.
Hope that helps,
Niall