Unfortunately you cannot use an XML file directly as a data source.

If your XML data source is in essence a "flat file" in XML format, and has
fewer than 63 or so columns, then you could try using an XSL transform to
turn it into an HTML or even Word data source that you might be able to use.
But unless you have someone around who can do all that stuff for you, it is
not a particularly straightforward process, and although I have done most of
the necessary steps, I have never put them together in a way that makes it
reasonably easy for an end user. However, for example, if you can import
your .xml into (say) Access 2003 and export it again as .xml, Access will
generate the .xml, and a .xsd schema, and a .xsl transform that can be used
as the basis for further work. After that, you /might/ be able to use the
.xsl transform to transform your original .xml file. For example, if you
have Word 2003, you can open the .xml, open and apply the transform and save
the resulting document as a .doc that you could use as a merge data source.

Peter Jamieson