There are many issues with the current version of SDL Trados Studio 2011 as reported by numerous people that upgraded lately. And one of these reported issues is that using the MSWord Spell Checker simply doesn't work.
Emma Goldsmith wrote:
In Studio 2011 you can choose between Hunspell and MS Word Spell Checker. If you select the second, you can use the same customised dictionary that you use in Word. Any words you add from Word or Studio will be entered in the same dictionary.