Depending on your data source, you either have to:
a. use DDE to get your data from Access or Excel. If it's Word 2002 or
later, check Word Tools|Options|General|"Confirm conversion at open", go
through the ocnnection processagain and select the DDE option when offered.
It only works for Excel or Access data sources and requires Excel or Access
on your machine.
b. use date formatting switches in Word, e.g. change

{ MERGEFIELD mydate }

to

{ MERGEFIELD mydate \@"DD/MM/YYYY" }

If that still doesn't work (in particular, if it works for non-ambiguous
dates where the day number cannot be mistaken for a month, but not
otherwise) it is because of a fault in the provider/driver that gets the
data. You may be able to get a patch from Microsoft Customer Services (I
don't know of one that can be downloaded).

Peter Jamieson