It is not related to EmailMerge. Problem can be due to:
Your ISP (or settings with your ISP) that causes e-mails to be received as plain text
You may have set settings for that contact to send in plain text only.
Create the e-mail to your self.
Double click on the e-mail address to open properties screen.
There is a drop-down field for Internet Properties.
Check what this is set to.