'Convert file from' appears importing jpeg

Hello, I want to import a picture from my camera (which is Jpeg format) into a word document. I have done this many times before with no problems, just choosing Insert, picture, from file then it appears on screen. But now for some reason a 'Convert File From' box appears with variuos selections, none of which work!! Looks like something has changed but I don't know why? Any suggestions?

Regards, Daws