Yes your code does not work either.

Obviously when I showed this example at the conferences, it did work. If I can find some spare time I will verify that the sample does indeed still work on my machine. If it does, then it comes down to your environment. If it does not, I will see what Microsoft has changed.

I get an error when trying to merge. The message is something like "The file is NOT a wordmerge file".

I have never seen that when running the example. I certainly would hope that if someone else had experienced this problem, they would have brought it to my attention. It is a very popular download.