Our state is bordered by Kansas to the west.

Should west be capitalized...I was thinking it was a direction and didn't.

You're right. In this sentence, west is a direction and is not capitalized.

http://dictionary.reference.com/browse/west?r=66

In this case, the term "west" should not be capitalized. When referring to directions, such as north, south, east, and west, they are not capitalized unless they are used as part of a proper noun, such as the name of a specific place.

For example:
- "We drove west for several hours." (uncapitalized)
- "We headed to the West Coast." (capitalized because it refers to a specific region)

Since you are referring to the direction of Kansas in relation to your state, "west" should remain lowercase.