From Word Help:
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Tips for formatting data in Excel
If your data file is an Excel worksheet that includes percentages, currency
values, or postal codes, you can preserve the numeric formatting of the data
by using Dynamic Data Exchange to connect to the Excel worksheet from Word.
For example, you can make sure a five-digit postal code of 07865 from your
data file is not displayed as the number 7865 (without the leading zero).
Before you connect to the worksheet, do the following in Word:
1.. Click the Microsoft Office Button , and then click Word Options.
2.. Click Advanced.
3.. Scroll to the General section, and select the Confirm file format
conversion on open check box.
4.. Click OK.
5.. With the mail merge main document open, in the Start Mail Merge group
of the Mailings tab, click Select Recipients, and then click Use Existing
List.
6.. Locate the Excel worksheet in the Select Data Source dialog box, and
double-click it.
7.. In the Confirm Data Source dialog box, click MS Excel Worksheets via
DDE (*.xls), and then click OK.
Note If you don't see MS Excel Worksheets via DDE (*.xls), select the
Show all check box.
8.. In the Microsoft Office Excel dialog box, for Named or cell range,
select the cell range or worksheet that contains the information that you
want to merge, and then click OK.
Note To prevent being prompted every time you open a data file, you can
turn off the Confirm conversion at Open option after you have connected to
the worksheet.
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