I've personally never done this before, but just from reading the error message it sounds like you need to set a datasource. If you were going to manually mail merge a document in Word, you'd have to provide a datasource for it. For example, if your word document was a letter and you wanted to mail merge to a comma delimited text file that contained names and addresses, your data source would be the .txt file.
You can find some general help just from
google[
^].
The first result
here[
^] has a code sample.
objWord.ActiveDocument.MailMerge.OpenDataSource("YOUR DATABASE PATH", _
Connection:="dsn=DSN NAME; dbq=" & YOUR DATABASE PATH & ";", _
sqlstatement:="select * from `" & tableName & "`")
This person appears to be using a database (not a textfile like in the scenario I hypothetically made above) so you'll have to research how to connect to whatever source you are using.
Hope this helps.