Unfortunately this is a Catch-22 situation:
a. you cannot avoid or dismiss the prompt via code (as far as I know) -
although if anyone has Windows-level source code for detecting a window and
clicking the correct button (cf. the utility that does that with the Outlook
security prompt when merging to e-mail), you may be able to adapt that.
b. you can only change the datasource when the document is open

FWIW the path is editable if the user saves the document in (the round-trip)
Web Page format but you may have no control over that.

Another thing you can try is
a. open a blank document
b. use Insert|File to insert the mail merge document. At this point you
have a non-mail merge maiin document (as far as I know)
c. open the data source
d. save the file

Again, you may well lose stuff in headers/Footers and so on.

Peter Jamieson