Hi hc69,
You're most likely doing nothing wrong! For starters, please try triple-clicking in the text that you want to edit in Word.
If that doesn't work, it may be that the PDF was created from a scanned page, and that OCR (optical character recognition) wasn't performed on that PDF to convert the scanned/image text to selectable/editable text. OCR is enabled by default when you convert via the ExportPDF website, but can be disabled in Reader. Please see How to disable Optical Character Recognition (O... | Adobe Community to make sure OCR is enabled.
Let's start there. If neither of those solutions work, we can take it from there.
Best,
Sara