Is your intention to make a link to the Word document or to convert it into HTML?
If the latter, how easy that will be depends on how complicated the Word document and how fussy you are about HTML standards.
If it's a simple document, try cutting and pasting the text from Word into the Dreamweaver document.
You can also try Word's 'Save as HTML' option, but this generates a very messy Microsoft type of HTML and compatibility can be an issue. There are utilities which can help. Dreamweaver has one built in and if that has failed, it could be because the Word document is too complicated.
Sometimes, you just have to hack away at the conversion.