Execute the merge to a new document that save it.  If you are using Word XP
or later, turn on the mailmerge toolbar by selecting Toolbars from the View
menu and then clicking on the Mail Merge item.  On that toolbar, there are
buttons on the right hand end that allow you to execute the merge to the
various destinations that are possible.

I you mean that you want to save the merge as a different file for each
record in the data source, see the "Individual Merge Letters" item on fellow
MVP Graham Mayor's website at:

http://www.gmayor.com/individual_merge_letters.htm

If you are using Word XP or later, the "Add-in to Merge Letters to Separate
Files" that I have written and that can be downloaded from that site will
allow you to create each letter as a separate file with a filename taken
from a field in the data source with a minimum of fuss.