If you execute the merge to a new document, is the date formatted correctly.
In the preview of a mail merge, the formatting switch may not be
implemented.
Via Tools>Options>General, check the box for "Confirm file format on open"
and when you attach the data source to the mail merge main document, try
the DDE method of connection.
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Hope this helps.
Please reply to the newsgroup unless you wish to avail yourself of my
services on a paid consulting basis.
Doug Robbins - Word MVP