This is one that I have encountered myself - it was a real pain until I discovered a method to get round the issue!!!

Try doing the following (don't ask me WHY it works, it just does)

Right-click the .pdf image and choose:

(2003) Format Image > Layout (tab) > Advanced > Text Wrapping (tab) > Top and Bottom

(2007) Text Wrapping > Top and Bottom


Now, try clicking OFF the image, clicking on it again (to select) and then Ctrl+Click on the other object - it should allow you to select the two for grouping now - though it will probably lose the Text Wrapping format, so if there is a particular one that you want, you should now be able to apply it to your new grouped object!!