You can't stop Word trying to connect to the existing data source, so typically you have to let Word display its SQL prompt, answer "no", then use the Mailings tab to connect to the data source you want. In the case of a SQl Server data source, if you have already set up a .odc using Word, that should be a question of selecting the .odc as the data source.
The only other way these days is to edit the .xml stored in the .docx directly - it's mostly in the settings.xml file, but there are usually one or two releationships that would point to the .odc file, for example.
BTW, this may have changed in Word 2013, but in earlier versions there was a problem getting data from Unicode field types in SQL Server (NVARCHAR etc.) using ODBC. To avoid that, you have to use OLE DB (which is what Word actually uses by default). This is despite the fact that Microsoft seems to be shifting back to ODBC as the standard for SQL Server connections.