Jay/Helmut,

It seems that I have been tripped up before as well with a continous
loop without the .Collapse wdCollapseEnd statement, but despite trying
for the last hour, I had to resort to some non-standard code to produce
the situation.  It will occur whenever you expand the found range
within the execute statement while leaving the find.text intact.  In
this rather poor example, I am adding quotes to underlined text within
a document.  With the .Collapse wdCollapseEnd statement a continous
loop occurs:

Sub ScratchMacro1()
'Adds quotes to underlined text
Dim oRng As Range
Set oRng = ActiveDocument.Content
With oRng.Find
 .ClearFormatting
 .Text = "<*>"
 .Font.Underline = True
 .Forward = True
 .Wrap = wdFindStop
 .MatchWildcards = True
 Do While .Execute
   With oRng
     .InsertBefore Chr(34)
     .InsertAfter Chr(34)
     .Characters.Last.Font.Underline = False
     .Collapse wdCollapseEnd
   End With
 Loop
End With
End Sub

For me a more common problem is the job won't complete without that
statement.  Take this example where I want to underline text in quotes:

Sub ScratchMacro2()
'Underlines text exclusive of the quotes marks
Dim oRng As Range
Set oRng = ActiveDocument.Content
With oRng.Find
 .ClearFormatting
 .Text = """<*>"""
 .Forward = True
 .Wrap = wdFindStop
 .MatchWildcards = True
 Do While .Execute
   With oRng
     .MoveEnd Unit:=wdCharacter, Count:=-1
     .MoveStart Unit:=wdCharacter, Count:=1
     .Font.Underline = True
     .Collapse wdCollapseEnd
   End With
 Loop
End With
End Sub

Without the collapse statement the code only formats the first found
instance.

I think I have read here somewhere before that the .execute won't find
.find.text that exactly matches the find.range.

So in a new document with Test text Test text

The following code:

Sub ScratchMacro3()
Dim oRng As Word.Range
Set oRng = ActiveDocument.Range
With oRng.Find
 .Text = "Test text"
 .Wrap = wdFindStop
 While .Execute
   oRng.Text = "Test text"
 Wend
End With
MsgBox oRn.Text
End Sub

Finds the first instances, the next .Execute collapses the range and
extends the range forward to the end of the document and finds the next
instance, at this point the oRng.Text and .Find.Text are identical and
.Execute terminates.

Here is another way of attempting to illustrate what I think happes.
You can't find the text of a document in the range of a document:

Sub ScratchMacro4()
Dim oRng As Word.Range
Set oRng = ActiveDocument.Range
With oRng.Find
 .Text = ActiveDocument.Range.Text
 .Execute
   If .Found Then
     MsgBox "Found"
   Else
     MsgBox "Not found"
   End If
End With
If oRng.Text = ActiveDocument.Range.Text Then
 MsgBox "Doesn't is seem odd that Word doesnt' find the" _
        & " ActiveDocument.Range.Text in the ActiveDocument.Range?"
End If
End Sub