Replace <b>…</b> with bold in MS Word with macros
You'll need to make sure you have the full Search/Replace dialogue box open.
Tick the Use Wildcards checkbox.
Find what: \<b\>(*)\</b\>
Replace with: \1
Then click the Format button and select bold.
Then replace all.
You can then do a similar procedure for italics.
For an explanation of Word's wildcards, see this article.