I am trying to use an excel file (created by a sql select and copy to ... type xls)
as a data source for my mail merge and I get a 'file not in the expected format' error
what am I doing wrong??

You may want to go to the tools and utilities page of my web site and download the code samples and white paper from the conference session I did on Office Automation With VFP.

One of the examples is Mail Merge using Excel as the data source. However, I do not guarantee that the example works with Office 2003. The examples were written some time ago.