In exactly the same way as in earlier versions. From the Tools menu in Word,
select Options and then go to the General tab and check the box against the
"Confirm conversions at open" item. (In Word 2007 it is Office Button
Word Options Advanced General Confirm file format conversion on open).
Then when you attach the data source to the mail merge main document, you
will be given the option of using the DDE method of connection which should
read the data as you have it formatted in the table.
Note that DDE can be unreliable - it is frequently better to use the default
connection and format the field using switches.
http://www.gmayor.com/formatting_word_fields.htm
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Graham Mayor - Word MVP
My web site
www.gmayor.com
Word MVP web site
http://word.mvps.org