Due to some attachment changes made for 2.2, images on a page exported to Word (in a private space) do not show up. This is because Confluence will now require "Word" to login to view those attachments (when a previous security hole allowed it) accessed through the direct URL, and so the image does not appear.
e.g. the following IMG tag embedded in the exported Word (HTML) document links directly to an attachment. Attempting to access this (with the domain pre-pended) will result in the login screen appearing.
<img src="/download/attachments/764/PerspectiveRelationships.png" border="0" />
Office Connector (for 3.5.x and previous versions only)
The Office Connector for Confluence does not have this problem. Instead of selecting Tools > Export to Word, you select Tools > Edit in Word . This will open up the Confluence page in Word, including any images. You can then do whatever you like with the file on your local machine and save changes back to the server if needed.
2. Set A Cookie
Simply login to Confluence using Internet Explorer and tick "Remember my login on this computer". So long as this cookie is maintained by Internet Explorer (i.e. until you wipe your cookies or click log out), you will be able to successfully view all images when viewing your document in Word. Note that this will be remain effective after you close IE although it will need to be performed after a restart of the server.
Edit: Set A Cookie work around does not work. Please use Office Connector instead.