Mail Merge is a very useful feature of MS Word.

These links take you to tutorials on the subject.

http://uk.youtube.com/watch?v=7Z851VD1WWw  short YouTube Video  great overview

http://mistupid.com/technical/mailmerge/index.htm   recommended

http://office.microsoft.com/en-us/word/HA011457271033.aspx?pid=CL100636481033    The official Microsoft tutorial on the topic

http://www.internet4classrooms.com/msword_formletter.htm  prints nicely in three pages,

http://www.ischool.utexas.edu/technology/tutorials/office/mail_merge/