Insert another file into an open document

1. Click where you want to insert the second document.
2. On the Insert menu, click Insert File.
3. To insert only part of a Microsoft Excel worksheet, click Range, and then
type a cell range in the Range box.

PROBLEM
I am having a problem with step 3 above. After I type a cell range(e.g. B2,
or e.g. A1:B3) into the range box then select insert, a File Conversion
dialogue box appears. So at this point, Word is having difficulty in
inserting excel cells.

Can someone please assist/ guide me correctly, thanks