Depends on what you mean? Table columns, or newspaper
columns? (I'm assuming the latter.) It would also be good
to know which version of Word is involved, and what kind of
data source.

Generally, you set up the merge just as you would a regular
document: set the number of columns and insert the merge
fields. If your concern is the record blocks not splitting
across column breaks, use the "Keep with next" and "Keep
lines together" settings in Format/Paragraph/Line and Page
breaks. Apply them to all paragraphs in a "block", and be
sure to have an "empty" paragraph below the block which
does NOT have this formatting.

Cindy Meister