Set the merge document type to directory/catalog.

There are two ways:
a. set up your merge to be a "Directory merge" (or "Catalog Merge" if you
are using Word 2000 or earlier, or starting from Outlook). In this case,
Word outputs record 2 immediately after record 1, with no page breaks, and
so on.
b. Edit|Copy whatever fields and text you have in your mail merge main
document, and edit|paste at the end of your document. Then insert a { NEXT }
field before the stuff you just pasted in (e.g. press ctrl-F9 to give you a
pair of the special field braces { }, then type NEXT in between, so you have

{ NEXT }

Option (a) is probably simpler if you just want as many records as you can
get on each page.
Option (b) is probably the way to go if you want a specific number of
records on each page and/or you want different information printed for each
record.

Neither of these will let you do a "multiple records per condition" merge,
where (for example) you have an invoive header, followed by a number of
invoice detail records, then another header and so on.