It occurs because
a. data and formatting are separated in Access
b. the default method Word uses to connect to Access data has changed from
"DDE" in Word 2000 to "OLEDB" in Word 2002/3/7
c. DDE gets the data from Access itself (which must be on your machine) and
delivers it more or less as you see it in many cases
d. OLEDB uses the underlying Jet database engine to get the data and
ignores the formatting.

You can either use "formatting switches" in your Word fields, e.g. use
Alt-F9 to show

{ MERGEFIELD myamount }

and change it to

{ MERGEFIELD myamount \#"£,0.00" }

That should be enough in simple situations.

Or you can check Word Tools|Options|General|"Confirm conversions at open",
go through the process of connecting to your data source again, and select
the DDE option when offered.

There are many differences between the two, but some you may need to take
note of at some point are:
a. DDE doesn't pass non-ANSI Unicode characters through
b. OLEDB can't "see" certain types of query, e.g. parameter queries, and it
doesn't understand the old "*" and "?" wildcards in queries that use LIKE

Peter Jamieson

See also http://www.gmayor.com/formatting_word_fields.htm