Never done that particular thing, but if I did I would probably either try
to identify a thrid-party tool to help (perhaps http://www.slipstick.com 
mentions something), or
a. use Outlook File|Import and Export to export data
b. use that as a data source for a merge

However, given the nature of the information I suspect it might be difficult
to use it in any useful way in a Mail Merge and I might
a. export it to Access
b. manipulate it in Access to get it in the shape I wanted
c. use the resuults of (b) in Word.

You might also be able to do something along the lines of "save the Outlook
calendar as a Web Page from Outlook, then re-use it in some way in Word"
(although Word an initial shot at that suggests that the HTML/CSS produced
by Outlook doesn't display at all well in Word), or perhaps print Outlook
calendar info. to a format that can be re-used in Word (e.g. to TIFF, using
the Microsoft Office Document Imaging printer).

Just my 2c-worth.

Peter Jamieson