You would need to export the data from Works in a compatible format - dbf?

If you have Works Suite (with Word as the Word processor) then the way this
is supposed to work is that you initiate the merge from the Works menu. If
you do that, Works does a behind-the-scenes export of the Works database
data into a .mdb database which Word knows how to handle. At least this is
what happens in Works Suite 2003 - I don't know for sure what happens in
earlier versions.

If you do not have Works Suite you may not have the converter that does
this, and I do not know whether it can be downloaded. You can find  a "Works
6 Add-in" by showing the entries for the Works product at
http://www.microsoft.com/downloads, but I do not know whether this is what
you need or not. Also, be careful - the WOrks Add-in is known to cause a
problem where multiple "Mailmerge" options start appearing in Word's Tools
menu.

The only other way to go is the one suggested by Graham - you need to go
into the Works Database, open the .wdb, and use the File|Save As option to
save the data in another format. In Works 2003, you the options are
a. older .wdb format databases - probably useless for Word
b. comma delimted and tab delimited text. But the problem with these
formats s that WOrks does not export the column/field names, so you would
either have to add them yourself manually, or use a separate header file
(only easy in Word 2000 and earlier)
c. dBASE III and dBASE IV formats. As far as I can see, these can both be
used by Word, but it may depend on which version you are using and whether
or not you have the "Converter Pack" installed (it used to be downloadable
from the Office Resource Kit pages of the MS web site, but I don't know what
the current position is).

--
Peter Jamieson - Word MVP
Word MVP web site http://word.mvps.org/