Found the answer, was asking the wrong question in the help menu.

"ftjackson" wrote:

I am trying to merge an excel doc into a word doc. I have formatted the cell
in excel to show a leading zero. Specifically I am talking about leading
zeros for zip codes. I can get the zero to show in the cell itself. I can't
get it to show in the "Fx" line. And when I mail merge the sheet to word it
also does not show the leading zero. I have formatted the cell to show zip
codes, I have tried formatting the cell as text, and I have formatted the
cell with custom formatting. Nothing has worked. Any help would be
appreciated. Thanks