First, ensure that you have the same number of fields in each record. Also,
you might check that you are using the same | character when generating
output from your database as you are using to insert fields manually (there
are a couple, and although they usually appear differently, that isn't
necessarily the case).

Next, try checking Word Tools|Options|General|Confirm conversions at open,
then go through the connection process again and choose the text file option
rather than OLE DB or ODBC.

(Word tries several different methods in succession to open its data source
files - I only know some of the things it uses to decide, but if it has for
some reason decided to use ODBC you won't see the delimiter dialog and it
won't recognise ~ as a record delimiter).

Another possibility might be to try to get the data directly from your
database, or export to a format better suited to containing any character
mix (perhaps to a .mdb (Access/Jet) table. Unfortunately XML is not an
option because WOrd can't use it directly as a data source, but you might
for example be able to go XML->Access->Word or some such.