We've had this before Alessandro😉
Click on the tiny 'Download' arrow at the top left corner of the Media Gallery window.
A Pop Up should then give you options of 'Open with' or 'Save to'.
My Windows PC (with Word installed) offers options as in attached screen Snip.
Cheers, Doug😎

Thanks for the help Doug, but I'm having problems with the Word license on my cell phone, I'll have to try this tonight on my PC.