This option is really saying "Use the first worksheet in the workbook", not
"the entire workbook" because (unless you are working on Mac or are using
the Excel converter to connect to the workbook ) it is displayed when you
use DDE to connect to the workbook, and that method only lets you see the
first sheet.
If you ony need the first sheet, you're OK. If not, you can either create a
version of the workbook where that sheet is the first sheet, or change the
way Word connects to the workbook.
If you're using Word 2000 or earlier, by default Word tries to connect using
DDE. You may be able to use ODBC (which should be able to "see" all the
sheets, by checking Word Tools|Options|general|Confrim conversions at open,
going through the connection process again, and selecting the ODBC option
when it is offered. In the following dialog box, you have to try to make
sure the right workbook is selected, then click Options and check all the
boxes to ensure that all sheets are displayed.
if you're using Word 2002 or later, the default method is OLE DB and Word
should already be presenting you with a list of the sheets, unless
a. you chose DDE when connecting (in which case, try reconnecting and
choosing the OLE DB option)
b. Word was unable to connect using OLE DB, in which case it tries ODBC and
if that does not work, DDE. That can happen for example if the workbook is
corrupt.