When you set up a mail merge, you have a "Mail Merge Main Document" that is
connected to a "Data Source". In this case it sounds as if you created the
data source from within Word. If you are using Word 2002 or later, this file
will be in "Office Address List" format in a file with a .mdb extension.

When you perform the merge with a document as the destination, Word creates
a new document that is /not/ connected to the data source, but the Mail
Merge Main Doument should be left open, connected to the data source, until
you close it.

It is possible that if you did not understand that, you deleted the Mail
Merge Main Document or closed it without saving its layout and data source.
If so, your best bet is probably to create a new mail merge main document,
then attach it to the existing data source (the chances are that the .mdb
file will be in your Data Sources or My Documents folder - if not, use
Windows Explorer to search for .mdb files last modified today). Then make
sure you save the main document before closing it.

Peter Jamieson