The first step was to create your data source, which by Latest Mailing Database default was a Microsoft Word document with a simple table in it. The next step was to create the main document, which could be a letter or pamphlet. Then the third step was to Latest Mailing Database add your fields to the main document and then finally carry out the merge.
In Microsoft Word 2003, if you are starting a Latest Mailing Database brand new mail merge then you should be aware that you no longer Latest Mailing Database produce a Microsoft Word document as a datasource, in fact the datasource you produce is a Microsoft Access database. I, to a certain degree applaud this move because I am a fervent believer that all raw data should in fact be stored in a database of some sort, it doesn't matter whether its a Microsoft Access Database, a MySQL Database or SQL Server.
The reason for this, is that the database enables the user to use this Latest Mailing Database information more than once and a database is far more stable than a Microsoft Word document, especially if you are working with large volumes of data. You will also find that the Microsoft Access database created by the Mail Merge Wizard is very simple and will only Latest Mailing Database contain a single table with the fields you defined.