I suspect that you have not actually executed the merge to a new document
and that you are trying to find the address in what amounts to just a
preview of the merge in the mail merge main document.

If you are using Word XP or later, I suggest that you select Toolbars from
the View menu and then check the Mail Merge item to turn on the display of
the Mail Merge toolbar.  Then use the button towards the right hand end of
the toolbar to execute the merge to a new document and then use the find to
find the address of the letter that you want to edit.