I am new to word 2003

When I pull up the data to a merge file, it comes up out of order.  I
clicked on the name field and put the data in Alph order by name.  That did
not hold once I saved the data and closed the file.  The next time I open
this same data - it was not in alpha order so under the name field I went
into "advance" and choose the sort option for name and in asending order.  I
did not pick any other sort option.  This did not hold again when I went out
of the file and re-opened the file again.  I have never had a problem with
merging files in previous versions of Word.  What am I missing with this
version????

Aurora