The problem is that .mdi is *not* a standard image file format.
Either A) Open the file in MS Office Document Imaging and use File>Save As -
Save As Type: Tagged Image File Format (*.tif) - which will probably
generate a very large file which you can then get into the doc using
Insert>Picture - From File or open in a graphics app & convert as
necessary - or B) Select All & Copy in MS-ODI, then paste into the Word doc.
In all honesty you may have created more work for yourself than necessary.
You can simply copy the XL content then go to the doc & use Edit>Paste
Special - Picture (EMF), among other options. Unless you need it for some
other purpose the .mdi is unnecessary.