This is a known problem in Word 2003, Word 2007, and Word 2010. There is a Microsoft knowledge base article that contains the answer.
http://support.microsoft.com/kb/918295
The article describes the process for Word 2003 and Word 2007, but Word 2010 is similar. Here's what I did for Word 2010.
- Exit all Office programs.
- Click Start, click Run, type regedit, and then click OK.
- Locate and then click the following registry subkey: HKEY_CURRENT_USER\Software\Microsoft\Office\14.0\Common
- On the Edit menu, point to New, and then click DWORD Value.
- Type UseQualifiedTableNameForMailMerge, and then press ENTER.
- Right-click UseQualifiedTableNameForMailMerge, and then click Modify.
- In the Value data box, type 1, and then click OK.
- On the File menu, click Exit to exit Registry Editor.