The usual approach is to use an  { INCLUDEPICTURE } field, as long as each
record in your data source has enough information to construct the full
pathname of an image in (say) .jpg format.

e.g. if your data source has a field called headername, containing the name
of an image file that you happen to know is in a folder called c:\myimages,
you could use

{ INCLUDEPICTURE "c:\\myimages\\{ MERGEFIELD headername }" }

Each pair of {} needs to be the special field codes you can insert using
ctrl-F9.

Notice that the backslashes in the path need to be doubled up - if your data
source contains the full path name of the image, that may cause problems.

You may also need to
a. check Word Tools|Options|Print|Update Field Codes
b. check Word Tools|Options|Print|Update Links
c. output to a new document, select the document contents (e.g. using
control-A), and press F9 to make sure the correct images appear, befoe you
print.

Peter Jamieson