Word 2000 sp3

I regularly embed other format files within my Word documents, and until a
couple of days ago, without any problems.

Now, when I embed the file and then go to 'Convert' to enter the file name
as the Caption, the Icon image disappears and I have to use the browse (to
C:\winnt\ etc) to find the *.ico file.

How did the 'connection' disappear?
And how do I get this working again, automatically.

Many thanks in advance
DeanH