Typically a merge output document has multiple WOrd sections, each with a
similar page range, e.g. if you have a one-page mail merge main document and
50 records in your data source, you will probably end up with 50 1-page
sections. So usually you will need to specify a range of sections to print
rater than a range of pages - e.g. you should be able to use e.g. s1-s5 in
the File|Print dialog box to specify that you want to print sections 1 to 5.

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Peter Jamieson - Word MVP