Do the following in Word:
1. Before merging, press ALT+F9. On your mergefields you will see something similar to the following:
{MERGEFIELD EntryTime}
where EntryTime is your Access field.
2. Place your insertion point between the word "MERGEFIELD" and your field name.
3. Type \@ "hh:mm AM/PM" . The result of the above example would look like:
{MERGEFIELD \@ "hh:mm AM/PM" EntryTime}
4. Press ALT+F9 to make your fields look like they were previously (this is supposed to toggle the field codes).
Let me know if this works.
There is help in Word. Type in "Format Merged Data" using the office assistant. I am basing my solution using Word 2000, though I think this will apply to Word 97 and Word 2002. Good luck.