Here are a couple of options.

1. Format all your zip codes in Excel as text.

2. In Word, before you start the merge:
Tools | Options | General and Check the Confirm Conversion at Open
Then, when you choose the Data Source for the Merge, a dialog should pop up.
Choose worksheets via DDE.

tj

"Bailey" wrote:

In addresses the first 0 in the zip code does not show or print when merged
to Word labels.