You have to use a relevant file format for Word. You didn't say what you are using. A quick and easy way to change the file type is to open it in Paint and then save as... A jpg should be fine.
Copying Diagrams
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Look up Forsyth–Edwards Notation (FEN) in Wikepedia. It will tell you how to notate a board in text. You can even enter in into the FEN box in Game Explorer and it will open it up in Chess.com format. Thomas
You might want to check out this thread: http://www.chess.com/forum/view/general/creating-chess-diagrams . You install a font and paste the output of the page into a word document when that font is active. It accepts FEN from the clipboard.
Once in a while, I try to copy diagrams for future reference into a word document, but they never seem to show up. Is there a way to copy a whole diagram into a word document (I just want the position on the board).