Using Word 2000 at work and Word 2003 at home (even got 1 machine running Word 2007 - don't ask!)
Highlight the text to change
Click Insert
Click Comment
The page will now show a large yellow bar up the right hand side of the text and a comment box at the bottom of the screen
Click Tools
Click Options
Click Print tab
Uncheck Print Comments
Result is the comment will show on the screen but not print.