Are you launching the Mail Merge Wizard while your address list doc is open?
If so, try closing that doc, opening a new, blank doc, then running the
Wizard.

I have a Word document with an existing list of addresses
that I want to print onto envelopes.  When I try to merge
the list by clicking Open Data Source I get a message that
my document cannot be opened as a data or header source
because it is a mail merge main document.  therefore I am
unable to proceed to setting up the main document etc.
What do I need to do?