I don't know what the problem is, but if it's intermittent and only occurs
when the document is opened, I would try to go the macro route, i.e.
a. create an AutoOpen macro in the document, say

Sub AutoOpen()

Dim strPathName As String
Dim strSheetRangeName As String
Dim strQuery As String

' Put the pathname of your Excel workbook here
strpathName = "c:\myworkbooks\mywb.xls"

' Put the name of the Sheet (or the range name) here
strSheetRangeName = "Sheet1$"

' Construct the Query - you may also need WHERE and ORDER BY
' clauses for filtering and sorting

strQuery = _
 "SELECT * FROM `" & _
 strSheetRangeName & _
 "`"

' The following should be enough in Word 2003

 ActiveDocument.MailMerge.OpenDataSource _
   Name:=strPathName,  _
   SQLStatement:=strQuery

' Set the merge type you want
 ActiveDocument.MailMerge.MainDocumentType = wdFormLetters

' optionally set the destination you want
 ActiveDocument.MailMerge.Destination = wdSendToNewDocument

End Sub

b. ensure the data source is disconnected from the document (click the
first button in the Mail Merge toolbar and check the Normal Word Document
option)
c. save the document

When the user has finished with the document, she either needs to close the
mail merge main document without saving it, or do (b) then (c).

Unfortunately you will probably also have to take account of the following
KB article:

"Opening This Will Run the Following SQL Command" Message When You Open a
Word Document"
at
http://support.microsoft.com?kbid=825765

As for the cause of the existing problem, I can only offer a few ideas:
a. the Excel document might be corrupt
b. the Excel document might be very large (I don't run into that myself)
c. Is the Excel document on a network path?
d. is the Excel document path name long?
e. are sort/filter options specified? (but I think this only caused a
problem in Office XP)
f. is the user using a network roaming profile? If so, there is a
possibilty that there is a permissions problem with a temporary file/folder
somewhere.

Peter Jamieson