Tools | Letters and Mailings | Mail Merge... will start the Mail Merge
Wizard. If you prefer not to use the wizard, you can use the old Mail Merge
Helper (which can be restored to the Tools menu using Customize; it's listed
as Mail Merge Helper under All Commands), or see http://home.zebra.net/~sbarnhill/ExpressMailMerges.htm (which also applies
to Word 2003).