In Step 3, you select the recipient list or you can create a new list.
In Step 3, you connect to the recipient list that you want to merge into your documents. You have three options:
Use an existing list If you already have a recipient list that contains the information you want to merge, select this option. Then, click Browse in the wizard to locate and open that file.
Select from Outlook contacts If you want to use your Outlook contacts list as your recipient list, select this option. Then, click Choose Contacts Folder to locate and open the correct contacts list.
Type a new list If you don't have an appropriate recipient list and want to create one, select this option. The new list is saved as a mailing database (.mdb) file in the My Data Sources folder, which is located in your Documents or My Documents folder. You can reuse the file for future mail merges.
Tip During the mail merge process, when you connect to the recipient list you want to use in the merge, Word looks first for the file in a folder called My Data Sources in your Documents or My Documents folder. It's probably most convenient, therefore, to store your recipient list there. But, you can connect to any recipient list in any location on your computer or on a server.