I don't use MS Word so I can't really help, but if you've set up each "page" of the 'zine as a different page in Word, it is probably thinking that you want them printed as individual pages, and the page setup is just assuming it's very small pages, so that when you go to print on regular-sized paper, it just prints one per page.
You may need to "lay them out" onto a single page to get the effect you need.
What I did was use Apple's Pages to create a bunch of small one-zine-page-sized images, and then used a layout program to position and place them into a second document that has them printable. I imagine many word processors are capable of placing "boxes" of text in a layout so you can edit them in place, but when the pages are not in a very usable order and some of them are rotated 180°, you might find it less painful to just make the images and lay them out when done.