If you are saying that the highlighting is not present in the document
created when you execute the merge, then I think that you are going to have
to "roll your own" method of transferring the data into the document.

I would do it by replacing the mergefields in the main document with
DOCVARIABLE fields and then use code to iterate through the database,
setting variables in the document to the values of the fields in the active
record, updating the fields in the document so that the data is displayed in
the DOCVARIABLE fields and then saving the document with a name (probably
taken from the database) before repeating the process.

The code would be something like

'allocate memory for the database object as a whole and for the active
record

Dim myDataBase As Database

Dim myActiveRecord As Recordset

'Open a database

Set myDataBase = OpenDatabase("E:\Access97\Ely\ResidencesXP.mdb")

'Access the first record from a particular table

Set myActiveRecord = myDataBase.OpenRecordset("Owners", dbOpenForwardOnly)

'Loop through all the records in the table until the end-of-file marker is
reached

Do While Not myActiveRecord.EOF

   With ActiveDocument

       .Variables("varname").Value =
myActiveRecord.Fields("correspondingfieldname")

       'Repeat for each field

       .Fields.Update

       .SaveAs "Path\Filename"

   End With

    'access the next record

   myActiveRecord.MoveNext

Loop

'Then close the database

myActiveRecord.Close

myDataBase.Close