It may depend on the precise version of Word, but you can try
a. add a "format switch" to each date MERGEFIELD field in Word. e.g. use
Alt-F9 to view the fields, in the mail merge main document, then change

{ MERGEFIELD mydate }

to

{ MERGEFIELD mydate \@"DD/MM/YYYY" }

Test with ambiguous dates, i.e. where the day number is 1 to 12.
b. if you are using Word XP/2003, change back to the old DDE connection
method (check Word Tools|Options|General|Confirm conversion at open, then go
through the connection process again. Word has to start Access if it's not
already going, you lose non-ANSI characters in text fields, and thetreatment
of other field types, particularly memo fields, may be different.

Peter Jamieosn