The bold (and other such formatting) in Excel doesn't get through to Word.

If you are inserting your Excel data using an "ADDRESSBLOCK" field in Word,
you are probably out of luck, because I don't think you will be able to bold
a specific line successfully.

If you use individual fields to insert the data, you can select the field,
apply /Word's/ bold setting, and if necessary, use Alt-F9 to view the field
codes, then change

{ MERGEFIELD myfield }
or
{ MERGEFIELD myfield \*mergeformat }

to
{ MERGEFIELD myfield \*charformat }

If you have bolded /some/ of your comany names and you want the bolding to
get through to Word selectively, then you have to consider having an extra
column in Excel (let's call it "boldcompany") and set it to "Y" if the
company name should be bolded. then do something like

{ IF "{ MERGEFIELD boldcompany }" = "Y"
"{ MERGEFIELD company \*charformat }"
"{ MERGEFIELD company \*charformat }" }

and apply the appropriate formatting to each of those "{ MERGEFIELD company
\*charformat }" fields.

In the mail merge main document, press Alt+F9 to toggle on the display of
the field codes and if there is a \mergeformat switch at the end of the
company name merge field, remove it and replace it (or add, if it is not
there) a \charformat switch, and then apply bold formatting to the M of
Mergefield.  Use Alt+F9 again to toggle off the display of the field codes.