As a workaround, try enabling the mailmerge toolbar (e.g. using
Tools|Customize) and starting with the leftmost button. If that works, in
most cases it's probably simpler than using the WIzard anyway. What you do
not get is the option to connect to Outlook data that the wizard gives you,
but if you want Outlook data it is usually better to initiate your merge
from Outlook anyway (select a contact list and use Outlook Tools|MailMerge).