Debra Dalgleish posted this:

There's an article on the Microsoft web site that might help you:

Answer Box: Numbers don't merge right in Word
  http://office.microsoft.com/en-ca/assistance/HA011164951033.aspx

And if you prefer the old Mail Merge helper, Word MVP Suzanne Barnhill
has instructions here:

  http://sbarnhill.mvps.org/WordFAQs/CustomizingWord2002.htm

about half way down the page.

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I often cheat instead of racking my brain.

I'll insert another column (probably hidden!) and use:
=text(a2,"ddmmyy")
or
=text(a2,"mm:ss.0")
or
=text(a2,"00000")
(or whatever format I want)
and use that field in the mailmerge.

(Cheating doesn't bother me anymore <vbg>.)