This is not a Word issue, it is an Internet Explorer 7 issue, as far as I have seen. I have encountered it before, where the security settings of IE7 are by default set so that a local document can not "execute" another document. Even running JavaScript in a local .js file from a web page on your computer would trigger a warning. There is a code that you can add to the top of the page so that it will execute local scripts. Unfortunately, it has been a very long time since I have dealt with this issue, and I no longer have that code. Another member might have that information though.

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The best way to learn anything, is to question everything.