Try to change a font where Euro symbol is displayed correctly.
See also http://www.microsoft.com/typography/faq/faq12.htm

>Hi can anyone out there help.
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>I perform a mailmerge in Word to do some reports. The merge data is a comma delimited text file create from VF5. However when the Euro symbol is used it appear in word as a small box. I think this has something to do with the Code Page but I've been unable to trace where I set this in Word :-(
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>Any help would be appreciated.