I have found a solution:
My HP Printer is connected to my desktop, which is connected by a
network cable to my laptop. I share the printer with my laptop, and if
I want to print from my laptop, I have to have my desktop on (because
the printer is only connected to the desktop).
If the desktop is off, and I open Word, I get that error message. The
hpzpm309.dll is an HP printer driver. Word will not start if the
connection is not there. If I choose another default printer (even
though I don't have another) and set it to use offline, then I do not
get the error message, and can use Word.
Are you on a network as well, sharing a printer?