"project item cannot be copied"

I'm invoking the MailMerge via the Word 11 (2003) COM object (within a dotNet
2005 module), using the Word.MailMerge object's .Execute(false) method. I see
the merge take place, then a Message Box with only "project item cannot be
copied" in it appears. Clicking the button allows the program to proceed
normally.

When this module runs with with Word set not to display alerts or as a
Console Application, the Message Box doesn't appear and the Word COM object
issues an exception.

This problem occurs on all machines that I've tried it on, not just my
development box. Also, it just started happening, may be coincidentally,
after installing the latest Microsoft updates which included a security fix
for Word 2003 (KB950241).

Does anybody know how to correct this problem, without re-installing Word?

Thanks,
Jeff