M$ have released an update for Word 2002:

The Word 2002 Update: June 19, 2002 offers you the highest levels of performance and security available for Microsoft Word 2002. This update is part of Microsoft's continued effort to provide the latest product updates to customers. This update prevents online files, used as part of a mail merge in Word 2002, from being accessed under improper security settings and potentially executing macros without warning users.

Before you install the Word 2002 Update,Microsoft Office XP Service Pack 1 must already be installed on your computer.