For mailing individual letters etc you would be best creating the address
list in Outlook contacts.
For mail merge, Word is not at all fussy about the type of data file used,
though it does require consistency between the records. The simplest
approach is to use Outlook again, but a table with one column for each
address field - similar to that shown in http://www.gmayor.com/convert_labels_into_mail_merge.htm .- will work
equally well.
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Graham Mayor - Word MVP