Try opening the file in notepad, rather than a word processing program. I don't use Word but it appears it is placing a file link because of the path you listed, rather than opening the actual file. Looking at a pspimage file in a text reader, most of what you'll see will look like gibberish but the first few words will say Paint Shop Pro Image File if it is indeed a valid pspimage file.

Here's a tiny snippet from the first couple lines of a .pspimage file as an example. Note you can read the first portion easily, the rest is gibberish.

Paint Shop Pro Image File
  ~BK . . ú ú R@    `Þ   ~BK
 ~FL    ÿØÿà JFIF  [ [ ÿÀ  ú ú ÿÛ

If you see Paint Shop Pro Image File in the first line of the file, try to upload one of the problem images here, pick a small one, zip it so I know it arrived undamaged by testing the zip file, and let me open it. If it is simply a matter of you having PSPX files, I'll be able to open them in my PSPX and that will explain why you can't do so in PSP9.