It cannot be done using mail merge "out of the box". You can however do in
using some VBA code that makes use of the Outlook Object Model.
The way in which it would be done is similar to that used in the article
"Mail Merge to E-mail with Attachments" at
http://word.mvps.org/FAQs/MailMerge/MergeWithAttachments.htm

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Hope this helps.
Please reply to the newsgroup unless you wish to avail yourself of my
services on a paid consulting basis.
Doug Robbins - Word MVP
>I often use the mail merge to Outlook functionality at work - but it would
>be
> so useful to be able to add a CC recipient as well.