While the datasource remains in its .mdb format, that's the way that it is
going to be.  If you want to retain the sort order, use a directory type
mailmerge to convert the datasource to a table in a Word document.  To do
this, insert the mergefields into the cells of a one row table and execute
the merge to a new document.  In that document you will get a table with
each record on an individual row.  Insert a new row at the top of the table
and insert field names into the cells of that row.   Then save that document
and use it as your datasource.