Please see this link To know the steps.
http://www.clearcutcomputing.com/mail_merge/mm_2002-3/Mail_Merge_Word-XL_2002-3.htm
A) In excel, make sure your columns have heading such as Lastname, Firstname, etc.
Highlight the entire name list and name it something like Maillist in the name box.
Save the file something (ie mailing.xls)
B) Theoretically, you can use any Excel worksheet in a Word mail merge function without any special preparation. However, I recommend that you do take some time to prepare your worksheet to optimize the mail merge process. Here are a few guidelines you should observe to make the mail merge process go more smoothly:
1. At the risk of stating the obvious, your data should be organized neatly into rows and columns. Think of each row as a single record and each column as a field you are going to insert into your document.
2. Create a header row for the sheet you intend to use for the mail merge. A header row is a row containing labels that identify the data in the cells below. Excel can be finicky sometimes about differentiating between data and labels, so I like to provide clues: bold text, a cell border, and cell shading that are unique to the header row will ensure Excel differentiates it from the rest of your data. Later when you are merging the data with the main document, the labels will appear as the names of the merge fields, so there will be no confusion as to what data you are inserting into your document. Further, it makes good practice to label your columns, as it helps prevent user error.
3. The data you intend to use for the mail merge must be on one sheet. If it is spread across multiple sheets, you will need to combine the sheets or perform multiple mail merges. Also, make sure the sheets are clearly named, as you will need to be able to select the sheet you intend to use without viewing it.
Once you make sure your data is prepared, you’re ready for the next step.
Please see this link
http://www.timeatlas.com/mos/5_Minute_Tips/Chunkers/Mail_Merge_Tutorial_Using_Microsoft_Word_and_Excel/