Word 2007 Mail Merge hyperlinks to documents don't work

[Trainer]

I have an Excel data file with a column titled attachment. In that column
are hyperlinks to complete file paths to documents on our network. I want
to send an mail merge email to our users with this active hyperlink. When I
do the mail merge, it doesn't recognize the complete file path. Is says
something about File Not Found. When I float my mouse, I can see a partial
file path. If I change the hyperlink to a website (instead of a file
path), it works perfectly.

I have followed the instruction in http://support.microsoft.com/kb/912679
{HYPERLINK {MERGEFIELD attachment \* MERGEFORMAT} \* MERGEFORMAT}

Can you help out?