Attaching files to e-mails using Outlook automation is easy; just call the
MailItem.Attachments.Add method and pass the file name of the attachment as
an argument.
The trick in your case is how to automate this in Word during the merge
process. However, this strictly involves the Word Object Model. You might
want to post a question about that particular functionality in the
microsoft.public.word.vba.general newsgroup.