How are the addresses laid out? Do you have a table with a single column
with a complete address in each cell? If so, you can put a cell at the top
of the table with a column name (e.g. Address) and insert a field such as
{ MERGEFIELD Address } in your mail merge main document, where the {} are
the special braces you can insert using ctrl-F9.
Or maybe you have one element (street address, city, state, country etc.) in
each column of a table?