Specifying the format in Access and/or Windows Control Panel Regional
Options isn't enough in this case.

You usually need to specify the date format in Word, e.g. if you have a
field such as

{ MERGEFIELD mydate }

try

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

(use Alt-F9 to reveal the underlying field codes).

However, this may not be enough in Word 2002 because of an error in the
OLEDB provider used to get the data from Access. I understand a fix is
available from Microsoft PSS (but possibly not via the web), or you can try
a. creating an Access query that formats the dates how you want (and
returns them as a string to Word)
b. changing the way Word connects to Access to use DDE instead of OLEDB
(but this may create other problems), by checking Word
Tools|Options|General|'Confirm conversions at open', going through the data
source connection process again, and selecting DDE when offered.

--
Peter Jamieson - Word MVP