I get a similar problem with Word 2000 if I don't allow it internet access (via ZoneAlarm Firewall) at the time of doing the paste. Do you allow Word internet access (do you have a firewall even to block access)?
I don't like giving such things permanent internet access unnecessarily, but giving temporary access seems unavoidable in this case. I'm not sure what the access is required for, as pasting even a simple piece of text from a web page gives this problem. Maybe it is trying to do something with obscure fonts used on some web pages.
Anyone shed any more light?