I believe you need the Hebrew version of Windows 95 to run get Word to
support Hebrew. This will mean installing two versions of Windows 95 on
your system via System Commander or some other multi-boot utility.
Microsoft has an addon for Word called SGML Author which converts between
Word and SGML. It costs $595 and is not supported via standard Microsoft
support. It works fine with standard Word and standard Windows 95 but I'd
be surprised if it would work with Hebrew Word and Windows.
As far as I know neither SGML nor TEX supports right to left character sets
and the problem of switching between right to left and left to right word
wrap is non-trivial.