Changing the date format in Excel won't help unless you also change the mailmerge data connection method to DDE. You'd do better to add a date formatting switch to the mailmerge field instead of messing with Excel.

To get the date format you want, you can add a formatting picture switch as follows:
• select the mergefield;
• press Shift-F9 to expose the field coding. It should look something like {MERGEFIELD MyDate} where 'MyDate' is your mergefield's name;
• delete anything appearing after the mergefield's name and add '\@ "dd MMM yyyy"' to the field, as in {MERGEFIELD MyDate \@ "dd MMM yyyy"}. With this switch your date will come out as '02 Aug 2008', for example.
• position the cursor anywhere in this field and press F9 to update it;
• run your mailmerge.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]