A very useful method for learning how to automate specific actions in MS Word is to actually perform the action manually with 'Record Macro' enabled.
Once you have the VBA macro its easy enough to convert this to VB.NET or C# that uses interop. I tend to tweak the VBA first manually in Word so I can then test this first before converting to a .NET language using the interop layer.
I don't know much about mailmerge, but this is some of the VBA generated whilst I recorded a macro:
ActiveDocument.MailMerge.MainDocumentType = wdFormLetters
ActiveDocument.MailMerge.OpenDataSource Name:= _
"c:\Arrays.xlsx", ConfirmConversions:=False, _
ReadOnly:=False, LinkToSource:=True, AddToRecentFiles:=False, _
PasswordDocument:="", PasswordTemplate:="", WritePasswordDocument:="", _
WritePasswordTemplate:="", Revert:=False, Format:=wdOpenFormatAuto, _
Connection:= _
"Provider=Microsoft.ACE.OLEDB.12.0;User ID=Admin;Data Source=c:\Arrays.xlsx;Mode=Read;Extended Properties=""HDR=YES;IMEX=1;"";Jet OLEDB:System database="""";Jet OLEDB:Registry Path="""";Jet OLEDB:Engine Type=37;Jet OLEDB:Database Loc" _
, SQLStatement:="SELECT * FROM `Sheet1$`", SQLStatement1:="", SubType:= _
wdMergeSubTypeAccess
I haven't included the full code here, but hopefully this give you some ideas.