I've just downloaded the manual for Pages '08 and it only lists Word .doc files. Page 33 states:
'Importing a Document
You can create a new Pages document by importing a document created in another application, such as Microsoft Office 2007 or AppleWorks. Pages can import the following file formats: plain text (.txt), Rich Text Format (.rtf and .rtfd), AppleWorks 6 word processing (.cwk), and Microsoft Word (.doc).
As much as possible, Pages preserves the original document’s text, colors, layout, and other formatting options.
From Microsoft Word, you can import styles, tables, inline and floating objects, charts, footnotes and endnotes, bookmarks, hyperlinks, lists, sections, change tracking, and more.
From AppleWorks, you can only import word processing documents.'
Bear in mind I'm using Office for Mac 08 hence the .docx.
I'll have a closer look at Yvan's suggestion.