The mail merge main document can only be attached to one data source at a
time, but as long as the names of the fields in the data source match those
in the mail merge main document, you can change the data source from one
Excel file to another.

In Word 2000 and before, you just go to step 2 of the mail merge helper and
click on Open Data file and select the new file.

If you are using XP and later, I suggest that you select Toolbars from the
View menu and then check the Mail Merge item to display the mail merge
toolbar.  You can then use the second button from the left hand end of the
toolbar to attach the data source to the main document.