What version of Word are you using?  The following article may help you -
"Creating a Mail Merge Data Source" at:

http://www.word.mvps.org/FAQs/MailMerge/CreateADataSource.htm

But as a last resort, use the data source that you have created as the data
source for a catalog or directory type mailmerge in the main document of
which you insert a one row table with as many cells as you have fields in
the data source and insert a merge field into each cell of that table.  Then
execute that merge to a new document and that new document will contain a
table with a row of data for each record in the data source.  Insert a row
at the top of that table into the cells of which you insert the names of the
mergefields and the save that document and use it as your data source.  You
can then add additional records to the data source by adding rows to that
table.