Hi Simon,

Here's a method that I have used that involves creating a separate
catalog type mailmerge maindocument which creates a word document containing
a table in each row of which would be your data from the database that you
want to use as the filename.

You first execute that mailmerge, then save that file and close it.  Then
execute the mailmerge that you want to create the separate files from and
with the
result of that on the screen, run a macro containing the following code
and when the File open dialog appears, select the file containing the table
created by the first mailmerge

Dim Source As Document, oblist As Document, DocName As Range, DocumentName
As String
Set Source = ActiveDocument
With Dialogs(wdDialogFileOpen)
   .Show
End With
Set oblist = ActiveDocument
Counter = 1
While Counter < oblist.Tables(1).Rows.Count
   Set DocName = oblist.Tables(1).Cell(Counter, 1).Range
   DocName.End = DocName.End - 1

   'Change the path in the following command to suit where you want to save
the documents.
   DocumentName = "I:\WorkArea\Documentum\" & DocName.Text
   Source.Sections.First.Range.Cut
   Documents.Add
   Selection.Paste
   ActiveDocument.SaveAs filename:=DocumentName, FileFormat:= _
       wdFormatDocument, LockComments:=False, Password:="",
AddToRecentFiles:= _
       True, WritePassword:="", ReadOnlyRecommended:=False,
EmbedTrueTypeFonts:= _
       False, SaveNativePictureFormat:=False, SaveFormsData:=False, _
       SaveAsAOCELetter:=False
   ActiveWindow.Close
   Counter = Counter + 1
Wend

Please post any further questions or followup to the newsgroups for the
benefit of others who may be interested.  Unsolicited questions forwarded
directly to me will only be answered on a paid consulting basis.

Hope this helps
Doug Robbins - Word MVP