If you want to insert ArtRage images into your documents in Word, you can use the insert picture option, that's right. However, Word won't recognise standard ArtRage files ( ptg files ), so before you try and insert one, just save it as a different format in ArtRage.
To do that, with your painting open in ArtRage, go to the File menu, choose "Export a Image", then in the next window in the "Save as type" box choose a format like JPG and enter the name of the file. Once you've hit the save button you should then be able to use insert picture in word, select the file you've just saved and place it in your document.
Hope that helps! If I've misunderstood the question just let me know.