You should be able to use the Mail merge recipients dialog box to sort a
particular column by clicking on the column header. With ZIP codes that will
probably depend on all the ZIP codes being numeric and having the same
format (e.g. you would not be able to sort UK postcodes and probably not
Canadian postcodes this way).

However, it is probably better to ensure that the data source is sorted if
possible. If it's Access, create a QUERY that defines a sort sequence (i.e.
uses an ORDER by clause in the SQL). For an Excel file, you could use
Excel's own sorting facilities before opening the data source.

Peter Jamieson