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When you configure Microsoft Word to automatically insert captions for Word documents, and you then insert documents by clicking Fileon the Insert menu in Word 2000, Word 2002 and Word 2003 or by clicking Text from File from Object in the Text group of the Insert tab, captions are not automatically added.
Word adds captions to embedded Word document objects only. The AutoCaption feature does not apply to Word documents that you insert directly as files.
To correctly insert a document and have the caption automatically added, follow these steps.
Word 2000, Word 2002, and Word 2003