If this is the message that you are getting:
"Opening This Will Run the Following SQL Command"
See the KnowledgeBase article at:
http://support.microsoft.com?kbid=825765

Signature
Please respond to the Newsgroup for the benefit of others who may be
interested. Questions sent directly to me will only be answered on a paid
consulting basis.
Hope this helps,
Doug Robbins - Word MVP
> In Word 2000, when you set up a mail merge, each time you opened it, it
> automatically connected to the database. In Word 2003, I get a message
> each
> time I open the main doc, asking if I want to connect to the database - is
> this normal?