In Step 3 of the mail merge, you are provided a "Mail Merge Recipients" dialog box. By default everything is selected. You can manually select which records to merge by deselecting the check box to the left of the unwanted records.

More advanced record selection can be accomplished by clicking the arrows at the top of a column heading. You can select from a list of items or perform advanced filtering like an AutoFilter in Excel.

(see Mail Merge Tutorials)