With older versions of windows I would do this but that doesn't work anymore with Word 2010.
This isn't caused by Word 2010, but by Windows 8.
Windows 8 added a new keyboard layout, Hebrew (Standard), in which this functionality does not work.
To restore this functionality, change your keyboard layout to Hebrew, and remove the Hebrew (Standard) layout.
More information can be found at: Typing Hebrew Niqqud (Voweling Points) in Windows 8