Hey gduhig,
The Save As PDF thing requires a download and installation from the folks in Redmond.
I'm guessing you've already done that, and the menu is grayed-out for some other reason, but on the odd chance that the menu is their
before you install the add-in, here's the link:
2007 Microsoft Office Add-in: Microsoft Save as PDF or XPS
I can't remember if that menu item is there before the add-in is installed.
Second idea: since it is called an "Add-in", I wonder if there are any security settings that might mess it up? I didn't see anything under Tools > Trust Center that said "PDF", maybe there's an Office Add-ins something-or-other in Control Panel or buried in the Start Menu somewhere...?