Your description suggests the original data source has been deleted and you're now trying to connect to one with a different name. The simplest solution would be to either:
a) use a file with the same name each time as the data source; or
b) answer 'No' to the SQL prompt, then set a new connection to the new data source. If you save the document before setting the new connection, then don't save when exiting, you won't get the prompt next time you open the document.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]