Copied web text has an annoying coloured background

If a I copy and paste text to Word 2000 from a webpage (when Edit with Microsoft Word is not available as a dropdown from File) the text has an annoying coloured background, usually blue but other colours experienced. How can I eliminate it? Ckecking borders and shading options in Word are to no avail.

Also, any hyperlinks in the copied text appear to be missing, with just a wavy underline to show where they were. Again, why is this and how can I get round it?

Perhaps also the question, why is Edit with Microsoft Word in the drop down missing for such web pages?

My OS is Windows XP Pro with all updates