Office OnLine didn't suggest that switch or construction!
You want {Mergefield Amount \# "$,0.00"}
Use CTRL+F9 for the curly brackets
See http://www.gmayor.com/formatting_word_fields.htm

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Graham Mayor - Word MVP
My web site www.gmayor.com
Word MVP web site http://word.mvps.org
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> When adding fields to a merge document, Microsoft Office Online
> suggests using switches {MergeAmount /# $#,###.00} to format the
> number into the way I want to display it. Whenever I enter this in my
> merge field in the document, the field <<Amount>> does not get
> formatted. How do I get the merge field to accept the formatting?