Either
a. try changing the method Word uses to connect to Access (check Word
Tools|Options|General|"Confirm conversion at open", go through the
connection process again and check the DDE option when offered or
b.  use Alt-F9 to reveal the field codes and change, e.g.

{ MERGEFIELD \*Mergeformat }

to

{ MERGEFIELD \@"DDD, DD, MMM, YYYY" \*Mergeformat }

There's more informaiton about these "format switches" in Word Help. If you
are connecting using OLEDB (the default method in Word XP/2003) test some of
your dates to ensure that the month and day are not reversed. If they are,
this is a result of an error in the OLEDB provider and you either need to
contact MS Customer Services for a "hotfix"

or

c. Create a query in Access that uses a format() function to create the
additional date format you need, and use that query as the source for your
merge.

Finally...

...it may look that way, but unless you're storing it as a string, it's
actually stored internally in a standard binary date/time format. Elsewhere
(e.g. in the Access table definitions or individual forms) you specify
formats used to verify what you enter in the field or how they are
displayed. In essence, OLEDB (and its predecessor ODBC) do not "see" that
formatting information and just get the underlying binary data.

Peter Jamieson