Users of some other source control software are used to the fact that, any merge operation requires a workspace and if that workspace is on your local machine then you need to make sure it's up-to-date with the branch it is a workspace for before merging into that branch.
TFS is less up front about this, but it does still use your local workspace as a workspace for merge. Therefore:
Before doing a merge with TFS, get latest of the target branch. Then start your merge.
For the paranoid: get specific version -- Latest Version; and tick both 'overwrite' options.