You can't "move back" within a data source in Word Mail Merge.

In this case, there are a couple of things you could try:
a. use a "directory" type merge to merge all the contacts into a new
document. Save that document, then open it and use it as the basis of your
letter (i.e. add the salutaiton text and fields, connect it to the data
source, etc., then do a letter merge.
b. use a DATABASE field to insert the contact names and addresses. Whether
this is feasible depends partly on the data source, and whether the results
are laid out the way you want. But start with your existing mail merge main
document, then
 - cut out all those <<next record>>, <<contact>> and <<address>> fields
except the ones you need in your salutation etc.
 - use View|Toolbars to enable the Database toolbar
 - locate and click the Insert Database button. It's about 7 buttons along.
You then go through much the same dialog as you see when you attach a data
source to a mail merge main document - select the same data source. You can
select which fields you want to insert at some point. In the last step, if
you leave the "insert data as field" unchecked, then you will end up with a
fixed table of data - then you can proceed with the merge as in (a). If you
check the "insert data as field" button, Word inserts a DATABASE field whose
result is the table. The advantage of that is simply that you can re-use the
mail merge main document when you change your data, as long as you can get
the DATABASE field to update (which may be non-trivial), and you should also
be able to exclude the details of the addressee by modifying the SQL code in
the DATABASE field, e.g. if when you click Alt-F9, the field has

{ DATABASE blah \s "SELECT * FROM [mycontacts]" blah }

then you could change it to

{ DATABASE blah \s "SELECT * FROM [mycontacts] WHERE [mycontacts],contact <>
'{ MERGEFIELD contact }'" blah }

where all the {} are the special field code braces you can insert using
ctrl-F9.

You probably won't be able to use the DATABASE field approach if your data
source is an Outlook contacts folder or other address book.