What would have been even nicer is if it actually worked. But it doesn't. The code crashes because it's poorly written. And, as usual, there's no variable declarations or error-checking - so it would crash anyway if Option Explicit is used or the file isn't found.
Try:
Sub InsertImage()
Dim StrImg As String, ObjWSH As Object, StrFile As String
StrImg = Split(Trim(ActiveDocument.Paragraphs.First.Range.Text), " ")(0)
Set ObjWSH = CreateObject("wscript.shell")
StrFile = ObjWSH.Exec("Cmd /c Dir ""C:\Users\%UserName%\'Balance of path to top-most folder'\" & StrImg & ".jpg"" /B/S").StdOut.ReadAll
If UBound(Split(StrFile, vbCrLf)) > 0 Then Selection.InlineShapes.AddPicture Split(StrFile, vbCrLf)(0), False, True
End Sub
Replace 'Balance of path to top-most folder' as appropriate. The 'C:\Users\%UserName%\' part of the expression gets the user's home folder.