InsertFile works for me from an Excel file
Option Explicit
Sub Combine()
'This code requires a referece to the Word object model
'and windows scripting runtime
Dim Appword As New Word.Application
Dim fso, fldr, f
Set Appword = CreateObject("Word.Application")
Appword.Documents.Add
Set fso = New FileSystemObject
Set fldr = fso.GetFolder("C:\AAA")
For Each f In fldr.Files
If Right(f.Name, 4) = ".doc" Then
Appword.Selection.InsertFile Filename:="C:\AAA\" & f.Name
End If
Next f
Appword.Visible = True
End Sub