That problem may be due to the way you've structured the hyperlink. Without seeing the actual field code, I can't really say, but having "
file:///c:\username\documents\http:....." is a fair indication of a problem - one doesn't expect to see both 'file' and 'http' in a hyperlink. You may be able to work around the problem by not updating fields in the document before merging (e.g. don't do a preview).