Indirect?

Use #1; it's the safer option.

Mary wanted to know what that word meant.

Anonymous Indirect

Mary said, "What does this word mean?"

Mary asked what that word meant.

CJ

In my OP, the phrase 'this word' is not a time expression so I change it into 'the word'.

Mary said, "What does this word mean?"
If the sentence is changed into Indirect Speech, it should be as follows.
According to one of the rules of changing direct to indirect speech, "this" should be changed to "that". (I agree with CJ's reply.)
Hence, Mary asked what that word meant.

You need to read 'A Practical English Grammar by A.J. THOMSON and A.V. MARTINET'. According to the book, 'this' used in time expressions usually becoms 'that'. Otherwise 'this' and 'that' used as adjectives usually change to 'the'.He said, "I bought this pearl for my mother."= He said that he had bought the pearl for his mother.

AnonymousYou need to read 'A Practical English Grammar by A.J. THOMSON and A.V. MARTINET'.

Thomson and Martinet need to read the responses from Clive, CJ. and tamguatlay.

However, I appreciate your response like this.

Thanks, fivejedjon. I'd like to know whether the example sentence in 'A Practical English Grammar' is grammatically correct or not. If not, explain it to me. I'm looking forward to your reply.

T & M (4th edn, p274) wrote this used in time expressions usually becomes that [...]. Otherwise this and that used as adjectives usually change to the. The first statement is correct. The 'usually' in the second statement is an exaggeration, in my opinion.