This is Word 2002 or 2003? In these versions Word connects to the data
source using OLEDB (which doesn't preserve number formatting) instead of
DDE. You have two options:
1. On the General tab of Tools | Options, check the box for "Confirm
conversions at Open." With that setting enabled, when you connect to your
data source you'll be given the option to choose your connection method, and
you can opt for DDE.
2. You can add a numeric picture switch to the merge field (see Word's Help
under "Numeric picture switch"). Note, however, that you will have to
perform some arithmetic to convert a decimal fraction to a percentage in
addition to adding the number formatting.