By default, the rich text editor in Sitecore 6 is not prompting you to strip formatting if you are pasting from Word.
This can be configured however to act the way you want.
Just open the file \sitecore\shell\Controls\Rich Text Editor\Default.aspx and set the StripFormattingOnPaste attribute to "None". This will enable the prompt. If you want to have some default clean up actions executed implicitly, just set this attribute to any combination of the values, for example:
This will remove Word formatting and also all inline styling, font and span tags behind the scenes.

More details and documentation can be found on Telerik's website: