There is a known problem here but only with some versions of Word
a. which version of Word? (can you provide the full version number from the
Help|About box?
b. you may be able to fix the problem using a "date format switch" in your
mail merge main document. Use Alt-F9 to display the underlying field codes
and if your date field is called mydate, Word will have something like

{ MERGEFIELD mydate \*Mergeformat }

type \@"DD/MM/YYYY" in there to give you

{ MERGEFIELD mydate \@"DD/MM/YYYY" \*Mergeformat }

and try again. Make really sure that ambiguous dates such as 05/06/2006 are
coming through the right way round
c. if that does not work, you may be able to work around by checking Word
Tools|Options|General|"Confirm conversion at open", then going through the
connection process again and selecting the DDE option when offered (NB, the
DDE method is obsolescent and doesn't pass through Unicode characters if you
happen to be using them). Again, be sure that ambiguous dates such as
05/06/2006 are coming through the right way round.

Peter Jamieson