Unfortunately if your intention is to just CTRL+C and CTRL+V, it won't work. As other answers have clearly elaborated, you will need to find and install a 3rd party software that is capable of doing this. Alternatively, you can also find websites that will convert the documents. You will just need to upload the file onto said site. Considering these are short stories you wish to compile, I assume it shouldn't be a problem. I'd be wary of uploading any sensitive information. A quick Google search should help you with the software/website you need.
There are still many examples of people producing PDFs with proprietary formats by using software to process an .exe file which they then edit before converting to PDF. A PDF that was originally created by Word can be converted and edited by other programs that include support for the .pdf file type, and is still a document. When creating PDFs, make sure your document doesn’t contain embedded documents that are made by other software. What you’re trying to get back from a Windows PDF using the PDF Converter is the content in the original document, not anything that was created by something else. If you’re going to create PDFs from Microsoft Word documents, you may want to try downloading the official .PDF version of Word from Microsoft.com.