You probably have a record that has a separator character eg a comma, that
Word treats as the end of the field thus breaking the field into two
'fields' hence the error message.See if the following helps:

From the Tools menu in Word, select Options and then go to the General tab
and check the box against the "Confirm conversions at open" item.  (In Word
2007 it is Office Button > Word Options > Advanced > General > Confirm file
format conversion on open). Then when you attach the data source to the mail
merge main document, you will be given the option of using the DDE method of
connection which should read the data as you have it formatted in the table.

Otherwise edit your data source to correct the problem.