I can't work out exactly what you are doing, but suspect you are missing
some steps as you don't mention them.

After you have selected your data source, there is still nothing in the
docuemtn that tells Word what to print or how to lay out the output. You
need to create the layout you want, and insert { MERGEFIELD } fields for
each item in the data source that you want displayed. These { MERGEFIELD }
fields are "placeholders" that tell Word where to put the data from each
record in the data source. You can insert them using the "More Items..."
option in Step 4 of the merge wizard, and they may look like <<fieldname>>
or { MERGEFIELD fieldname }, or display data the Excel sheet if you are
previewing. Because Insert Merge Field dialog box is modal and you cannot
type anything in the document while you are inserting them, you may well
find that everything is bunched up - after you have closed the dialog you
would need to edit the document and put some tabs between the merge fields,
or create whatever layout you need.
--
Peter Jamieson
MS Word MVP