A merge creates many versions of the same basic text.  The process usually
puts a section break between each version, and restarts the numbering (if
this were a form letter you were sending out, for instance, you would want
that to happen).

So, a couple options:
1) set all the page numbering to "continue from previous section", via
Format Page Number on the Header/Footer toolbar (I think would need to be
done for each section).

2) delete the section breaks entirely.  You can Find and Replace them with
nothing.  Edit | Replace, hit More, use the Special menu to put the code for
section breaks into the Find box.  Leave the Replace box empty and Replace
All.  You may want to try this  ON A COPY, as I believe it cannot be undone.

Are you using Word's official "Master Document" feature? If so, read this:
Why Master Documents corrupt:
http://www.mvps.org/word/FAQs/General/WhyMasterDocsCorrupt.htm