How to save embedded message objects in a Word doc using VBA

Using the toolbar in Word 2003, I am able to do a "saveas" and preserve the
content of the embedded message objects (i.e. 2 e-mails each containing Word
attachments and a pdf file). In other words, I can close all applications
and return to the document later, click on the embedded objects to open the
e-mail messages, and view the attachments to those messages.

However, when I try saving the Word document using VBA
(ActiveDocument.SaveAs), the saved Word document contains only the icons
(outlook "envelope" icon). When I click on the envelope icon in my Word
document, a dialog box opens to edit the image (icon). The outlook messages
and attachments behind the icon have disappeared.

I appreciate any assistance you can provide.