The easiest way to send a mail merge email with an
attachment is to use a shareware add-in called "Mail
Merge Toolkit" from MAPILab Ltd.  This will allow you to
add attachments not only in word but in publisher and
outlook as well.

From their site:
Mail Merge Toolkit is powerful add-in for Microsoft
Office 2002 (XP) and 2003 designed to extend mail merging
capabilities in Microsoft Outlook, Microsoft Word and
Microsoft Publisher. Allows to insert data fields into
subject field, add attachments, send emails in GIF, HTML,
RTF and text formats. When sending GIF messages from MS
Publisher, HTML-links can be assigned for image areas
(the image map technology).
The mail merging with Mail Merge Toolkit is virtually the
same as standard merging, but it gives you more
opportunities and is more reliable in operation. It
doesn't cause false response of the security system and
especially coded to avoid security prompts, there is a
possibility to interrupt sending, the number of already
sent messages and messages to be sent is shown in the
Mail Merge Toolkit information window.

Download : http://www.pcworlddownload.com/internet/email-
utilities/Mail-Merge-Toolkit-download.htm

Hi Nick,

See the article "Mail Merge to E-mail with Attachments" at

http://word.mvps.org/FAQs/MailMerge/MergeWithAttachments.htm