Hum, hard to tell. It is possible that some security issue here...
I would try to make the word merge manually at first..and see if any new
dialog prompts pop up.
I have a working same that does a mail merge, and it does work for a2003.
You can give it a try..and at least you will it is "possible" that your new
setup can work. And, you might even enjoy my template word merge sample. You
can find it here:
Albert D. Kallal (Access MVP)
Edmonton, Alberta Canada