http://support.microsoft.com/?id=832796 tells how do to it (instructive video included) from Works 2004 to Word 2002 (rather strange combination).
Also you might like to read http://support.microsoft.com/kb/826838/en-us?spid=2530&sid=234
If it doesn't work, try if you can Save As in Works to save the file in a format Word 2003 will work with correctly.
Hope this helps.
I have an MS Works DB that I want to create mailing labels from in Word 2003. When I select my Works DB, it only brings in the first record. Am I doing something wrong? I've tried this about 10 times and keep getting the same result. I never had this problem before I starting using Works!