Perhaps you might try this suggestion from the Microsoft KB
You receive the "Opening this will run the following SQL command" message when you open a Word mail merge main document that is linked to a data source
It appears it would be a bad idea from a security viewpoint to leave this fix in place but it should let you apply a fix to the files.
Another alternative is to burrow into the zip version of the xml files to find the old path and replace it with the new. This would avoid the need to open the file with Word until you have reset the path.