Per Microsoft's Article ID: 820734
This problem is corrected in Office XP Service Pack 3. To resolve this problem, obtain the latest service pack for Microsoft Office XP. For additional information, refer to How to obtain the latest Office XP service pack
Place the address block in the conditional merge document instead of the individual letters
When exporting Address Lines, select to export the Address Lines field instead of individual Address Lines (Address Line 1, Address Line 2, etc)
Download and install the latest update from our website.
Note: This is caused by an issue in Microsoft Word 2002. However, it has been reported that upgrading to 7.71 works in some cases. If not, use one of the other two options.