What you probably need to do is insert invividual address elements instead
of an ADDRESSBLOCK, i.e. in step 4 of the mail merge wizard, choose "More
items..." rather than "Address block..."

The problem with the ADDRESSBLOCK field is that it requires Word to try to
work out which field in your data source contains each element of the
address, e.g. title, first name, last name, street address and so on. As far
as I know the only thing it has to go on are the names of your data columns,
so if for example, you have a complete name such as "Peter Jamieson" in a
field called "fullname", Word probably will not recognise it and will not
find the "firstname" and "lastname" it is actually looking for. In theory,
if you are using a data source such as an Outlook address list, Word ought
to recognise the names, but it does not even get that completely right in
all cases.

Peter Jamieson