How you go through the mail merge depends on which version of Word you are using. I always liked the 2000 version. Not so keen on the approach taken in XP and 2003 -- they dumbed it down and (in my opinion) made it harder to use, not easier.
On the MS site there will be tutorials on how to do the merge. Follow the tut for your version.
As for a Word board, try theofficeexperts.com
Denis