From the Tools menu in Word, select Options and then go to the General tab
and check the box against the "Confirm conversions at open" item. Then when
you attach the data source to the mail merge main document, you will be
given the option of using the DDE method of connection which should read the
data as you have it formatted in the table.
Note that DDE is less reliable which is one reason why Microsoft has changed
the data connection method to read the raw data from Excel. Formatting
fields is no big deal, but rather than insert the fields and modify them, it
is much quicker and easier to add them from the keyboard using CTRL+F9 for
the field boundaries.
See
http://www.gmayor.com/mail_merge_labels_with_word_xp.htm as a merge
primer and also
http://www.gmayor.com/formatting_word_fields.htm
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Graham Mayor - Word MVP
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