Close Word. Press CTRL+SHIFT+Esc to ensure there are no running WinWord.Exe processes still running. If there are close them from the Task Manager. (Better still reboot the PC).
See
http://www.gmayor.com/what_to_do_when_word_crashes.htm and ensure that you check the folder with the merge document for orphaned lock files.
Restart Word. Open the errant document. Set the document type to Normal Word document from Start Mail Merge on the Mailings Tab
Click Select Recipients and re-attach your data source.
You can if you wish, suppress the SQL prompt with a macro - see
http://www.gmayor.com/word_vba_examples.htm - 'Toggle the SQL security entry in the registry through vba'
Has that fixed it?