If you only do this periodically and are using Word 2002 or 2003, try...
a. enable the Mail merge Toolbar using Word Tools|Customize
b. click the Mail Merge recipients icon, deselect all the records (use the
appropriate button), select the ones you want (check the appropriate boxes),
then save the document before merging.

I don't like this stuff much and do not use it myself, but Word is supposed
to remember info. about which records you selected. It's just never
completely clear exactly what info. it does save in order to do that.

The alternative is to create a new column in Excel, put a "Y" in that column
in the rows you want, then, in the Mail Merge Recipients box, click the
drop-down at the top of that column and select the "Y" records, and save the
document.

Word is supposed to remember these selections but there are some errors in
some versions of Word that make it lose this info (if not the link with the
data source).

Peter Jamieson