Compose one message, the copy and paste it four times onto the sheet.  Then
assuming that you have a merge field in the message, at the beginning of the
second through the fifth messages, insert a <<Next Record>> field via the
insert Word Fields pull down.

Alternatively, you could use a catalog (or in Word XP and later it is called
"directory") type mailmerge main document in which case, you would just
compose the one message in the main document.

In that case, you should format all of the paragraphs so that the text
within them is kept together and all but the last paragraph will need to be
formatted so that it is kept with the next.  The purpose of this is to stop
the sixth message from possibly being started at the bottom of the sheet and
continuing on to the next sheet.