Mail 'Merge to New Document' problem

Using Word 2003 and Windows XP, sp3:

I have a 100-page Word document with multiple sections (portrait & landscape). Each paragraph is automatically numbered using Styles and the numbering is continuous throughout the document.

The Header contains Merge fields that are populated from another application before printing.

'Merge to New Document' is used to create a new mail merged document, which is then printed (for other application reasons, 'Merge to Printer' cannot be used to print it directly.)

PROBLEM:
When the new document is created by 'Merge to New Document', the paragraph numbering is reset back to 1 at each Section break.

How can I prevent Word from resetting the paragraph numbering in the merged File?

Urgent answers greatly appreciated.

Many Thanks,
James