I have some document assembly automation code for Word that performs up to 15 individual mail merges, then assembles the results. When run with Word 2003 you get a dialog for each merge:

Opening this document will run the following SQL Command:

SELECT * FROM H:\HDS\TEST\SERVOBJ.DLW

Data from your database will be placed in the document. Do you want to continue?

If not responded to promptly, you then get "Word was unable to perform the command because a dialog box was open"

A google search hints at a registry fix for this problem, but doesn't say what the key or value is. I've got a call into Microsoft support, so if I find it first I'll share it here.