I would suggest that you turn on the Mail Merge toolbar by selecting
Toolbars from the View menu and then checking the Mail Merge toolbar.

Alternatively, you can get the original Mail Merge Helper back by selecting
Customise from the Tools menu and then go to the Commands tab of the
Customise dialog and select the All Commands Category and then scroll down
through the list until you come to the Mail Merge Helper item and then click
and drag it onto the expanded Tools menu or a toolbar.

I will not use Word 2002, 2003, or any newer version of Word until mail merge
is fixed. I use mail merge everyday and the newer version is truly awful. I
still use Word 2000 because the mail merge function is much simpler & faster.
I have read the comment about  adding the old mail merge helper to the
toolbar (a very esoteric procedure - No one would ever find it on their own.
) I've experimented with this in Word 2003 and find it is a pain.  It is
slightly better than than the idiot mail merge wizard in newer versions.  In
Word 2000, you can set up the merge fields quickly and all at one time. Using
the helper or the wizard in the newer version for addresses, you have to
insert one merge field, close the box, insert a lline return, reopen the box,
insert the next merge field, close the box, etc. This was easy in the old
version.  You have managed to take a simple procedure and make it insanely
complicated.  If something's not broke, DON'T fix it.  However, feel free to
fix this new "feature" asap.