Option Explicit
'Папка в которой всё это безобразие надо делать:
Private Const TARGET_FOLDER As String = "d:\documents\"
'Маска поиска. Не советую делать .
Private Const SEARCH_CINTERIA As String = "*.jpg"

Sub Jpg2DocAll()
    Dim bstFile As String
    Dim clsDoc As Word.Document
    Dim bstFullName As String
    bstFile = Dir(TARGET_FOLDER & SEARCH_CINTERIA, vbNormal)
    
    
    Do While bstFile <> vbNullString
        bstFullName = TARGET_FOLDER & bstFile
        
        Set clsDoc = Application.Documents.Add
        
        With clsDoc
            .Range.InlineShapes.AddPicture FileName:=bstFullName, _
                                                   LinkToFile:=False, _
                                                   SaveWithDocument:=True
            .SaveAs FileName:=Replace$(bstFullName, ".jpg", ".doc"), _
                    AddToRecentFiles:=False

            .Close True
        End With
                
        Set clsDoc = Nothing
        
        bstFile = Dir()
    Loop
End Sub