See http://support.microsoft.com/?kbid=198299 "You receive a
'Word could not re-establish a DDE connection to Microsoft Excel'
error message when you attach a Microsoft Excel worksheet as a
mail-merge data source in Word 2000".

Marta Santo wrote:

"Word could not re-establish a DDE connection to Microsoft Excel to complete
current task" appears when I try and open data source during a mail merge.