I would start by looking at the merge set up. File - Setup-templates - Merge. Find the merge in question. Open it. On the third tab - (Files) look for what is in the "specified merge data file" field. I would suspect it does not exist or you are not able to access that location. If it is something that you do not recognize, try checking automatically assign and run the merge again.
Matt
Matt Stone, LLB Premier CIC - Forum Administrator 7SecondSystem.comThe 7 Second Blog
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