Quite agree with NIKORR. Some friend of mine entered same problem when he ran winxp and word 2003, i could not find the .DIC on his laptop either. i guess it is a ghost version of xp. You need to reload Office and install again.
Do get grammar check option selected when reinstallation.
Office download url:
http
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/office.microsoft.com/en-us/downloads/CD001022494.aspx