Inserting a file in microsoft word 2011
If you use Insert->Object, Word tries to insert the file as an OLE object. This only works if Word knows how to handle the type of file you are inserting. The error message seems to indicate that Word doesn't know this.
What kind of file is it? Do you have an application on your system that can open this file?
Also note that this link will only work on the computer you're working on now. When you transfer the Word document to another computer, the link will break.