Let's try each of the following steps in order until the issue is resolved:
  1. Close all open Word documents. If you have run the merge recently, the file may still be open.
  2. Reboot the workstation.
  3. If you are also receiving the "Opening this document will run the following SQL command: Select * From 'MAILDATA' Data from your database will be placed in the document. Do you want to continue?" error, refer to BB397436.