Office 2003

I'm trying to do a mail merge in Word, using Excel as the source.  One of
the fields in the Excel file is a hyperlink.  However, it never comes in to
Word as a hyperlink.  I've tried using the Fields keyword HYPERLINK, by
going into Alt F9, but it puts a link to the document, and not the mail
merge field.  How do I format a mail merged field as a hyperlink?  I've read
that the original formatting is not preserved, but I can't figure out how to
set formatting once it's merged.

Thanks, Andre