Lin,
If I had known you were in "Mac World", I wouldn't have suggested the Microsoft right-click. I don't know any Mac mojo,. just a little MS mojo.
if there is a similar thing, it might have a name like "copy to clipboard".
And I think Dave is right: Microsoft Word doesn't seem eager to play with animated GIFs. Maybe some Mac graphics program? Like, paste it into a graphics program and see if it stays animated. Then copy-paste from the GRAPHICS program into something else, and see if it stays animated.