You have not execute the merge. Rather all that you are doing is
pre-viewing the result. I would suggest that you turn on the display of the
Mail Merge toolbar by selecting Toolbars from the View menu and then check
the Mail Merge item. There are buttons on the right hand end of the toolbar
that can be used for executing the merge either to a new document, to the
printer or to email.
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Hope this helps.
Please reply to the newsgroup unless you wish to avail yourself of my
services on a paid consulting basis.
Doug Robbins - Word MVP