If it is Word 2003/2002 and you have set up a new address list using the
Mail Merge Wizard, then you can sort the list of the addresses as they
appear in the "Mail Merge Recipients" dialog box, by clicking at the label
at the top of the Last Name column, twice if necessary. I think the entries
will then appear in that sequence if you click the Edit button to add new
addrresses. However, you may need to do that each time you open your mail
merge main document or use that address list.

Otherwise, let us know which version of Word you are using and what the data
source is (Access? Excel? Word document?)

Peter Jamieson