Yes, either have a Word document that contains nothing except a Word table,
with one column for each merge field. Put the column names in the first row
of the table.

Alternatively you can have a Word document that contains delimited text
data, i.e. like a .CSV file where the first row contains the column names,
separated by (say) commas or tabs) and subsequent rows contain the data,
separated by the same (comma/tab/...) delimiter.

Connecting to Word data sources can be slow in Word 2002/3.

Peter Jamieson