Don't do that! 8^) And what I mean by that is it does have problems that I've seen as well in the past and in this ng.
As Mark said, it is a linking problem with what Windows and SW have hooked up for OLE or ActiveX or something at one time was installed which messed up the link or there was no program which was installed to handle image files?
So, to avoid this all together, do it the simple and fast way, just copy/paste the image(s), that is, open the image in a paint program (like PaintShopPro) and ctrl-c, then ctrl-v in SW drawing. And, when editing, just copy/paste the attached image(s) into your favorite paint program and copy/paste when you are finished.
Otherwise, if you do not have a paint program, you can try and resolve this by installing M$ Photo Editor from the M$ Office CD, this should resolve the OLE link.