How do you mail merge one data set to multiple letters in word 2003?

I have been told of using a primary letter, but could not figure it out.

I have one data set whose filename defines which letter they need to use,
but I can not get them to populate into the seperate letters.  For example,
in a school setting there are three letters one for 5 abs, one for 8abs, and
one for 12 abs.  The data is all one file, but the filenames specify 5, 8, or
12.  What do I do?