I did this where people needed to download an Excel spreadsheet (that was
created dynamically from SQL data) and then merge with a MS Word doc.
How this works, is you set up the mailmerge to use the .xls (or .txt) file
in the SAME directory. Then put both files on the server for download.
Instruct them to download the txt file AND the MS Word mailmerge document
and put them both on the desktop. Then - have them open the mailmerge doc,
and if the txt file is present in the same directory - it works fine..