Mail merge using Excel data

I have various Excel tables of address information with the Zip Code column formatted correctly (special). When I do a mail merge in Word using these tables, any zip codes that start with 0 (zero) are displayed incorrectly in the merge document. The zero is dropped and I end up with a 4-digit zip code. I’ve tried formatting the cells as Text, but it still happens. It’s a real problem for me as I live in New England where ALL the Zip Codes start with 0.