If under Tools>Options>General in Word, you check the box against the
"Confirm conversion at Open" item, when you connect to the datasource, you
will be given a number of options of the way to connect, one of which will
give you the option of choosing which sheet to use - I forget which one it
is.

Word however can only use a "flat file" as a datasource, therefore you will
have to create a single sheet that references the cells on the other sheets
to be able to get it all used in a mailmerge.