Insert/Embedd zip file to Microsoft Word Document

Open a Word document,Go to  Insert ,Click the Object drop down and select Object option,this will open a dialog box,from there select Package and check the display as icon check box

Click the change icon button if you want to change the default icon,you can change the file name also .After clicking 'ok' a new object Packager window will open up
Click on File->Import,Browse to your file after that

close the Object Packager window,an update confirmationdialog box will pop up,click yes button.You are done

Now if you want to change the icon or name,right click the Object

Go to Package Object ->Convert,then change the name or icon