Step 1: Understand the question.
We must find the file format that Microsoft Word does NOT support by default.
Step 2: List Word formats.
Word normally works with text documents. It opens and saves types like .doc, .docx, .rtf, and .txt, and it can also save as .pdf.
Step 3: Check .docx and .rtf.
The .docx type is Word's own default format, and .rtf is a rich text format Word reads easily. Both are supported.
Step 4: Check .pdf.
Word can save and even open .pdf files, so this is supported too.
Step 5: Look at .xlsx.
The .xlsx format is the default workbook of Microsoft Excel. It holds spreadsheets and formulas, which belong to Excel, not Word.
Step 6: Conclude.
Since .xlsx is an Excel format and not a Word format, the answer is option 3, .xlsx.
\[ \boxed{.xlsx} \]