I'm a bit unclear about where you are trying to drag them from, ashencil. Are you definitely trying to do so from a finder window, or could you possibly be trying to do so from a file listing within word itself?
Finder is the apple version of "my computer" on windows. It contains all your documents.
It is the far left icon on the dock, with the dark blue and light blue face.
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Deleting documents on Word
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