Which version of Word?

What do the dialog boxes look like, e.g.
 does the first one have a list of worksheets (and perhaps range names) and
a check box saying "First row of data contains column headers"?
does the second one have a list of sheets and a button saying "options"?
or what?

This can happen if Word 2002/2003 is unable to open the worksheet using its
default method (OLEDB) , in which case
a. the spreadsheet could be password-protected (in which case I'd expect
you to see yet another dialog box)
b. the spreadsheet could be corrupted in some way - if it's simple and
contains no formulas or easily re-inserted formulas, make sure you've saved
your original, then try saving it as .csv, re-opening the .csv, and saving
as .xls again, and try again.

Peter Jamieson