If using a date switch in Word does not work, i.e.

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

then it's down to a known problem with OLE DB.

Be careful as using the date switch may show unambiguous dates correctly
(e.g. where the day is 17, it cannot be misinterpreted as a month) but still
switch the day and month e.g. for 6/9/2007 or 9/6/2007.

In earlier versions of Word 2002, there was a hotfix for this problem.
However, if you have the up-to-date SP3 version, your MDAC (data access
stuff) is up-to-date and you are still seeing it, then I suspect the problem
has never been permanently fixed and that you will need to use another
approach, e.g.
a. connect using DDE (check Word->Tools->Options->COnfirm conversions at
open, go through the connection process again, and select the DDE option
when offered. But you need Access on the machine for that, and the
interaction is more complex.
b. write a query in Access that returns the date in YYYY-MM-DD format, then
use that query as the data source and a DD/MM/YYYY switch (as above) in your
Mailmerge fields.