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Locating Mail Merge Input

Locating Mail Merge Input
I have been a developer for decades but I am very new to working with Mail Merge documents.

A client asked to have some of their mail merge documents generated directly from the application I am writing for them.
The client sent me a Word, mail merge document and the associated data file.  I put both in a directory on my computer.  The input file is named ‘TCLMDATA.DAT’.

When I try to open the Mail Merge doc I get a message “Opening this document will run the following SQL command”, “ Select * from U:\TCLMDATE”, “Do you want to Continue?.

When I select ‘Continue”, I get a message “Word cannot find the data source U:\TCLMDATA”.  This makes sense because I have the file in a different location than “U:\”.

When I select the option to “Find Data Source”, I locate the supplied file on my computer and select it.  But then Word puts up the message “Word cannot find its data source, “ then shows the name and location of the file I selected.

I know the file exists.  I didn’t type the name I just selected it in the file finder.  Why am I getting the message that the file wasn’t found and how do I resolve this?

I suspected that the file having a ‘.DAT” extension was the problem so I created another version of the file with a .txt” extension.  I ended up with the same messages and result.
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GrahamSkan
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That should have started;
Try answering "No" to the "Continue" question.
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Thanks You