Unfortunately, by the time the data reaches Word it already has "0" in it,
not "blank", so the only way to suppress it in Word would be to use

{ IF { MERGEFIELD myfield } = 0 "" "{ MERGEFIELD myfield }" }

and that can only work if a zero /always/ means "it's blank".

Otherwise, you will need to change the column formatting in Excel (e.g. to
text) and reconnect Word to Excel (and even that may not work), or change
the way Word connects to Excel - in Word 2002, check Word
Tools|Options|General|Confirm conversions at open, go through the connection
process again, and select the DDE method when prompted.
--
Peter Jamieson
MS Word MVP