Hi Kathy,
This message indicates a file type other than Excel or Word was embedded into the Word document. Mac OS does not allow one app to open another application's files. Usually this happens when a Word for Windows user embeds a PDF file or PowerPoint presentation. That's allowed by Microsoft Windows but not Mac OS.
If you need to get at the embedded object, you can do it in Finder.
Change the file extension of the Word document from .docx to .zip then use Archve utility or Stuffit Expander to view the contents of the zip file. If you navigate through the folders you will find the embedded object.