You are mistaken - see http://www.gmayor.com/individual_merge_letters.htm

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Graham Mayor - Word MVP
My web site www.gmayor.com
Word MVP web site http://word.mvps.org
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> Under earlier versios of word, I seem to remember being able to have
> mail merge generate a separate file for each record. Is this possible
> in Word 2002 or 2003?