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Best practice is to export to EPS (with the DOS preview image) and then import into Word on the Mac that way.

Short version of why the QuickTime dialog comes up is by pasting into Word on the Mac, QuickDraw is invoked, and it has ties to QuickTime.

You might also try copying as vector Pict or exporting as such.

I can give more details if you send in feedback to, currently at home. =)
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