In Word 2007 you can in the "Insert Caption" dialog check whether to include or exclude the label from the caption. So inserting a reference will make you show only the number, without "Figure" word, so you can type "Fig." manually.
(Picture taken from http://word.tips.net/T000890_Adding_Captions.html)
As far as I know it is not possible (this way) until Office 2007.