How can I stop this message from appearing in a merge document?

Opening this document will run the following SQL command:
SELECT * FROM [CLIENT DELIVERY]
Data from your database will be placed in the document.
Do you want to continue?

I am running a macro that automatically opens, merges, prints and closes 7
documents and each time the new merge document opens I get the message. I
just converted from Office 97 to 2003. I did not get the message in 97.