ASP page as data source?

[Augie Dawg]

I've got an ASP page on an ISP-hosted site that generates a mailing list
from an Access database, and want to use that ASP page as a data source for
Word 2002's mail merge. When I try to put the URL of the page into the
"Browse" window of the Mail Merge Wizard, I get an error "File not found".
Has anyone actually done what I'm trying to do, or have any idea what I'm
doing wrong?

Thanks,
A.D.