Click Cancel to close the dialog without making changes. In the window that opens, click the whitespace to the right of the path in the location bar at the top and copy the complete path to the clipboard by pressing Ctrl-C.
The Startup folder should be listed there. In the Word ribbon, click the File tab, click Options, and click Advanced. If changes you make to the Startup folder aren't taking effect, you can confirm that Word isn't set to a different location. From there you can navigate to Microsoft\Word\Startup. The AppData folder may be hidden on your system, but you can get there by opening the Windows File Explorer, typing %AppData% in the address bar, and pressing Enter, which will take you into the Roaming directory. The default location of the Startup folder is C:\Users\::username::\AppData\Roaming\Microsoft\Word\Startup, where ::username:: is your computer username.