On Windows XP SP2, when you use the Excel data file downloaded from Doubleknot for Mail Merge, it may ask you to reconnect to the data source since it cannot find the file.  This is a known behavior with Attachment Manager.  Please see the Microsoft Knowledge Base Article at http://support.microsoft.com/kb/883260/ for more details.

To correct this issue:

1. Right-click the blocked source file, and then click Properties.
2. In the General tab, click Unblock.