When TntMPD fails to connect to MS Word to automate a mail merge, it's usually one of two things.  Either Word is not installed or running correctly.  Or there's an anti-virus program putting itself in the way to prevent what it thinks is malicious software doing things it shouldn't do.

First, read this article by Microsoft:
http://support.microsoft.com/kb/246018

This link shows how to diagnose your installation of Office (including Word):
http://www.howtogeek.com/howto/microsoft-office/detect-and-repair-applications-in-microsoft-office-2007/

A restart of your computer might be helpful, also.  And if you have an anti-virus program, try turning it off temporarily to see if that's the culprit.

Until you get this fixed, you may need to manually perform a mail merge:
http://www.tntware.com/tntmpd/faqs/en/how-can-i-manually-perform-a-mail-merge.aspx