Use a catalog or directory in Word XP and later type mailmerge main document
with the records sorted on the last field.

If you put the merge fields in the cells of a one row table, when you
execute the merge, you will get a table containing the records.

There must be nothing else in the mailmerge main document.  Anything else
that you need will have to be added later, or you can copy the table and
paste it into another document.