You have to do it from within Word, I believe.   Also, there's a Mail Merge
Toolbar that's not up by default.  

http://word.mvps.org/FAQs/MailMerge/index.htm

For help on Word mail merge using Excel as the data source have a look here

http://www.mvps.org/dmcritchie/excel/mailmerg.htm

http://www.mvps.org/word/FAQs/MailMerge/CreateAMailMerge.htm

http://www.mvps.org/word/FAQs/MailMerge/CreateADataSource.

50 min MS tutorial
http://office.microsoft.com:80/training/training.aspx?AssetID=RC011205671033

Debra Dalgleish posted this: There's an article on the Microsoft web site
that might help you:

Answer Box: Numbers don't merge right in Word
http://office.microsoft.com/en-ca/assistance/HA011164951033.aspx

And if you prefer the old Mail Merge helper, Word MVP Suzanne Barnhill has
instructions here:

http://sbarnhill.mvps.org/WordFAQs/CustomizingWord2002.htm

about half way down the page.
best wishes