In Word 2002/2003 you can select individual records in the Mailmerge
Recipients dialog box. You can also sort records by clicking on the column
headers in that box (and if you click the drop-down in the column header,
you can get to a "Query Options" dialog that lets you set a number of sort
columns.

However, don't expect all this stuff to work with all types of data source,
and in particular don't expect your settings to persist when you
close/re-open the data source (they should, but in many cases they do not).

Peter Jamieson