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The copy/paste method is generally problematic. Not only does it not
always work (as you're finding out), but even when it does, there is a
well-documented loss of resolution.
What I'd recommend is in Visio, save your graphic as a PNG. (Other formats
will work, such as WMF, EMF, etc.), but generally I find that PNG files
will nicely import into almost anything, and can be easily resized. (The
only caveat is if you're using transparency, which depending on whether you
save the PNG as 24-bit or 32-bit can cause issues in your target
application if it's, for example, FrameMaker.)
Once you have the PNG file, open your Word doc, and then import the picture
(in Word 2003, it's Insert > Picture > From File).
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