You have to initiate the merge from Outlook (select a contacts folder,
create whatever view you need to display the categories you want, click
Outlook Tools|Mail Merge). This approach uses a completely different method
to get the data to Word (in fact it creates an intermediate text file with a
.doc extension), is the only one that gives you access to almost all the
fields available within your contacts, and the only one that lets you use
the facilities in Outlook to select the contacts you want.

To illustrate Peter's point - see
http://www.gmayor.com/mailmerge_from_outlook.htm

Thanks guys, I will give it a go..