I don't know how you can change the behaviour of the "To New Document"
option in Step 6 of the Mail Merge Wizard, but you can create a macro that
does what the Merge to New Document button eventually does and add a new
toolbar button (perhaps to the Mail Merge toolbar) to run it.

e.g.

Sub myMailMergeToDoc()
 With ActiveDocument.MailMerge
   .Destination = wdSendToNewDocument
' start of optional chunk
' what you put in here depends on what you want to do
   .SuppressBlankLines = True
   With .DataSource
     .FirstRecord = wdDefaultFirstRecord
     .LastRecord = wdDefaultLastRecord
   End With
' end of optional chunk
   .Execute Pause:=False
 End With
End Sub

If you rename the macro to MailMergeToDoc then the existing mail merge
toolbar button should execute this macro instead of the built-in command.

--
Peter Jamieson
MS Word MVP

"Merge to a New Document" function in Word I get a dialogue window that pops
up (called, Merge Records) asking me to select an option of "All", "Current
Records", or "From".  I do not want to have to answer this pop up window
every time I do this merge.  Is there an option of turning this pop up
dialogue window off?