I think it's a registry setting you can tweak as described here:
Choose the data source
Word can use a wide variety of data
sources. The 'Select Recipients' icon
offers the option to type a new list,
to use an existing list or to select
from Outlook Contacts. (Outlook 2007
still provides the option to start the
merge from Outlook for even greater
flexibility - the procedure is
essentially the same as that for
Outlook 2003).
If you chose to use an existing
data source, by default Word 2007 will
try and connect to a data source in
the 'My Data Sources' folder. This
will not help much if the data source
is a Word or Excel document, for
example, in some other folder. Don't
be thrown by the two default entries
shown in the illustration below,
simply move to the folder that
contains your data file and select it.
There is no mechanism included by
which the My Data Sources folder can
be set to a different location;
however, you can set the data source
folder to a path on the same drive as
the My Documents folder by means of a
registry hack. The folder is defined
at:
HKEY_CURRENT_USER\Software\Microsoft\Office\12.0\Common\DataServices
Edit the 'MyData' sub key to the
required folder name (without quotes).
The start point for the path is My
Documents and the entry in the data
key would be a sub folder of My
Documents, which by default is the My
Data Sources sub folder. If the
DataServices key has no entry the
default setting is used. To move up to
My Documents enter . (a period/full
stop). To move up two folders enter ..
(two periods/full stops). Although I
have not tested it, the convention is
one period/full stop for each level,
so if your My Documents folder is
buried deeper, in theory at least you
should be able to add extra
periods/full stops to take you back to
the root level of the drive. I regret
I have not found a way to change
drives within this mechanism.
This method allow you to move the
folder to a different path location.
e.g., here I have My Documents as a
sub folder of the D: drive i.e. "D:\My
Documents" thus the default setting
for the data folder would be "D:\My
Documents\My Data Sources" . To move
that data folder to "D:\My Documents"
you would change the default My Data
Sources entry for a period/full stop
to move up a level.
To move to another
sub folder of My Documents eg "D:\My
Documents\Merge" simply change the
default "My Data Sources" to "Merge"
and to move to a different branch of
the folder structure eg to "D:\Merge",
add the period/full stop to the path
as below: