Macro VBA for Office - Error runtime

[Turrikan]

Hello,
I am trying to use a VBA macro on a Word document to generate pdf files in conjunction with the mail merge.
When I start the macro it stops and a window appears with:

"Runtime Error 5948"
Command not available on this platform

Through Debug the block on the following line of code is highlighted:

Set fd = Application.FileDialog (msoFileDialogFolderPicker)

Tips?