To use Mendeley's citation plugin with Word, you will need to have the Mendeley Desktop program downloaded onto your device. See our Getting started page for a download link.
If you are a PC user and have Word 2010 and above, there is a way to export a file from your Mendeley Web Library and integrate it with Word's in-built citation tool, instead of using the citation plugin. See Mendeley's blog entry for instructions. However, we do recommend using the citation plugin for best results.