For online Mail Merge Help check the following sites or hit F1 on your keyboard for help:

Word 2010

Step by Step

Word 2007

Step by Step Mail Merge Options

Word 2003

Mail Merge 101 (2003)

Word Mail Merge: A walk through the process (2003)

Word 2007 & 2010 Tip

You can perform a mail merge by using the Mail Merge task pane, which leads you step by step through the process. To use the task pane, in the Start Mail Merge group on the Mailings tab, click on the Start Mail Merge pull down menu, and then click Step by Step Mail Merge Wizard.