If you are using Word 2002/2003, when you get to "Select Data Source" dialog
box, make sure you are looking at the contents of the "My Data Sources"
folder. You should see an item called

+New SQL Server Connection.odc

Select that one, which should lead you through the necessary steps.
Inessence, the process sets up a .odc (Office Data Connection) file, which
you then select as your data source.

If you are using Integrated Security for SQL Server, things will probably go
easier. If you are not, you will probably have to check the boxes named
something like "Retain security info", in which case your username and
password will end up as plain text in the .odc, so be careful!

If you are using Word 2000, you have to set up an ODBC DSN for SQL Server,
then use the MS Query option in "Open Data Source" to set up your query.

In both cases there is a significant possibility that you will go through
all the necessary steps, apparently connect successfully to the data source,
only to have Word tell you that it can't open the data source at the final
step. This is usually either a security-rleated problem, or because Word
truncates the connection string created by MS Query or the Datalink editor.
In that case, you may need to connect using Word VBA and the OpenDataSource
method. We can go into that if necessary.

Peter Jamieson