Versions of Microsoft Word before Word 2007 had the following annoying bug:

Consider an Excel spreadsheet with the following data.

Name Date of Birth
Ed Apple 03/12/1978
Fred Pear 12/04/1956
Rosemary Peach 04/12/1968

The astute will notice the dates are in Day.Month.Year format.

Now we mail merge into Microsoft Word

Ed Apple  12/3/1978

Fred Pear 04/12/1956

Rosemary Peach 12/04/1968

Notice that the date is now in Month.Day.Year format.

Microsoft KB article 325579 has further details.

The workaround is to manually edit the MergeField to explicitly format Day.Month.Year.

The fix?  Word 2007 resolves the problem.