While the datasource remains in its .mdb format, that's the way that it is
going to be. If you want to retain the sort order, use a directory type
mailmerge to convert the datasource to a table in a Word document. To do
this, insert the mergefields into the cells of a one row table and execute
the merge to a new document. In that document you will get a table with
each record on an individual row. Insert a new row at the top of the table
and insert field names into the cells of that row. Then save that document
and use it as your datasource.
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Hope this helps,
Doug Robbins - Word MVP