OK, at the moment I am on Office 2003 SP3 and I do not see this with the
examples I am using but
a. can you select one of the offending dates in Excel and tell us what
format you see in Format|Cells (and what the Locale box says underneath)?
b. if all the date cells are formatted the same way but the Locale box says
something other than "English (United Kingdom)" can you try
  - selecting all the cells in the column (except maybe the header cell)
  - in Format Cells, if you don't see "Date", then select Date, select the
"English (United Kingdom)" locale, and select the format you want.

I'm assuming you have the Regional settings in Control Panel set to UK and
the date format in there to the usual DD/MM/YYYY UK settings.

You can always try checking Word Tools|Options|General|Confirm conversions
at open, going through the conneciton process again, and selecting the DDE
option when offered, but that has its own problems and as far as I can see
you should not really have to.

See the "Dates: day/month reversed" item under the "Connection methods"
topic of the "Mail merge in Word 2002"  section of fellow MVP Cindy
Meister's website at
http://homepage.swissonline.ch/cindymeister/MergFram.htm