Assuming you are only producing one letter for each record in the data
source, or that it is always safe to ignore all records where the value in
GR is GR, try this:
a. make a backup copy of your document, just in case
b. remove the IF field
c. Use Tools|Customize to enable the Mail merge toolbar. Click the Mail
Merge Recipients button (typically the third from the left)
d. click the little arrow in the column heading of the "GR" column, and, if
Word lets you select the value "GR", do that, and the list of records should
be filtered. If you don't see a GR value, click the Advanced... option, and
specify the condition where the GR field equals GR. You should not need to
put any quotes around the GR.
e. Come out of the dialog box and save and close your document. Then try
opening it again to verify that Word has remembered its data source, and the
filter condition. If it has, you're probably OK and you should get what you
need. if not (and that may be the case in Word XP unfortunately), further
thought is needed...

Peter Jamieson