The beauty of docx is that (like epub) it's really a zip archive. Change the file extension, you'll find a load of files and folders including one with any pictures in the document.
Make sure your operating system has been told to show file extensions. The default 'hide extensions for known file types' in Windows is stupid, if only for security. Consider an executable called fluffy_kittens.jpg.exe. It will display as fluffy_kittens.jpg. That's OK to click on, right?
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