A little more information here may be useful, before we can be of much help to you.
What version of Winword are you using?
What related applications are you using Winword to communicate to?
For instance, Excel? A web-based application? etc.?
I'm guessing this refers to a Web-based correspondence since the dynamic link is
urlmon.dll ?
None of the above sound familiar?
Well, you may not have intentionally created the situation.
In my limited experience, I can only think of a couple of common application situations in which Word acts like a Server. One is when using Microsoft Small Business Mail utility, between Word and Excell.
Been sending any mass-mailer items of the printed paper, snailmail type?
Another is when you copy and paste information from a WebPage that contains "hyperlinks" into a Word document, and then later use that Word document to access back to the linked page on the internet.
If you are intentionally doing this either of these operations and using DDE macro topic functions, then you are way ahead of me with this. If that is the case, you may wish to start researching with this linked Microsoft Knowledge Based article:
http://support.microsoft.com/kb/q93657/
Since you are "troubled" by the appearance of "error messages" then it's a good guess that you didn't do this on purpose, but have become infected by a .dot and .xls type macro Virus!
This macro virus infects two Office97 applications: Word documents and Excel sheets. To be compatible with different Office97 applications the virus uses VisualBasic compatibility and uses the same code in both Word and Excel.
The virus infects the system, documents and sheets when files are opened (auto-macros AutoOpen in Word and Auto_Open in Excel). While infecting the virus uses the export/import Office97 functions via a temporary C:\SHIVER.SYS file. It writes (exports) its code to this file and then reads (imports) into the object that is being infected.
Under both Word and Excel the virus replicates itself by using standard tricks. While infecting Word files the virus copies its code to document or global macros area (NORMAL.DOT). Under Excel the virus hooks sheets activation process and sets the infection macros ShiverTime as the handler. The virus also saves the infected PERSONAL.XLS file in the Excel startup directory and as a result infects the system Excel area.
http://www.f-secure.com/v-descs/shiver.shtml
THE GOOD NEWS is that McAfee AntiVirus is able to Detect and Remove this Virus. Since this "shiver" macro infecting virus has been around for a while and is similar to the Malissa virus, most good legitimate AntiVirus programs should detect and remove it.
Hopefully, you have an onboard AntiVirus utility.
Update it using its AutoUpdate.
Then reboot to SAFE Mode.
Now in SAFE Mode, Run your AntiVirus Utility and allow it to quarentine or remove malicious items it detects.
Please Be Aware, that since this "macro virus" infects documents and spreadsheets, that any of your save documents and spreadsheets could be infected, including those you may have saved to Backup Storage on external CD or External HD.
This is my first encounter with a "macro virus" so I recommend that your seek more experienced assistance, probably via the HJT Forum here and one of their more qualified experts.
I Strongly recommend that you cease all email communincation and Do Not exchange documents and spreadsheets between this machine and any other, to avoid spread of the virus.
But maybe you are using DDE and macros intentionally and just need some help with your application.
If so, I am over reacting with the talk about Virus.
But better Safe than Sorry. 
Please post back with your progress on this problem.
Best Regards