For online Mail Merge Help check the following sites or hit F1 on your keyboard for help:
Step by Step Mail Merge Options
Word Mail Merge: A walk through the process (2003)
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.