OK, I fired up my 2003 and this seems to work.

This also corrects the problem Frosty addressed with multiple shapes in the document.

Sub AddaPix()
Dim MyInline As InlineShape
Dim MyShape As Shape
With Selection.InlineShapes
    Set MyInline = .AddPicture(FileName:="C:\wetude\s.png", LinkToFile:=False, _
    SaveWithDocument:=True, Range:=Selection.Range)
End With
With ActiveDocument
     Set MyShape = MyInline.ConvertToShape
     With MyShape
         .ZOrder msoBringToFront
     End With
End With
End Sub