From the View menu, select Toolbars and then check the Mailmerge toolbar
item so that it is displayed.  Then start with the first button on the Left
Hand end of the toolbar, select the type of merge that you want to perform,
then use the next button to the right to open the data source.  You can
probably skip the next button, but the one after that is used to insert the
merge fields into the document.  Then towards the right hand end of the
toolbar are a number of buttons, one for each destination to which you can
execute the merge.

If it's labels that you want to create, see the article "Mailmerge Labels
with Word XP" on fellow MVP Graham Mayor's website at

http://www.gmayor.com/mail_merge_labels_with_word_xp.htm

There are probably other items on Graham's site that may be of interest to
you.

Also see the "Dates: day/month reversed" item under the "Connection methods"
topic of the "Mail merge in Word 2002"  section of fellow MVP Cindy
Meister's website at
http://homepage.swissonline.ch/cindymeister/MergFram.htm

and other items there as 2002 and 2003 are the same as far as mailmerge is
concerned.