Which version of Word, and what is the data source? If your copy of Windows
is updated automatically via Windows Update/Microsoft update, some recent
updates ahave caused a lot of problems with Word.I quote CIndy Meister:

"There are massive problems with the most recent set of updates. There's a
KB article (http://support.microsoft.com/kb/918165) describing a workaround
for
some of the problems. But other people are finding they need to uninstall
the updates, especially MSO06-015."

Peter Jamieson

I've had the same problem and found that my problem is the length of the
fields which are being merged were to long.  Since I shortened them
everything works now.  I only wish there was something in writing that
explains how long these merge fields can be as well as what naming schemes
NOT to use.

Hope this helps you