It depends on exactly what you mean.
a. a Word mail merge main document that has been connected to a data source
such as an Access query, then saved, should reconnect to that query when you
re-open the document, although you may see a question about executing SQL.
b. When it reconnects, the query should execute, i.e. you should see the
data that the query returns /now/, not the data that the query returned when
you last did the merge.
c. in some cases, Word 2002 (and possibly 2003) does not successfully
reconnect to the query, e.g. if you have applied additional selection
criteria you may experience some problems

So...
d. which version of Word/Access?
e. can you spell out /exactly/ what steps you are taking?
f. in particular, are you definitely saving the Word mail merge main
document after you have attached it to your query data source
g. when you re-open that document, do you see any messages? If so, what are
they?

Peter Jamieson