See
MailMerge with Word which covers the basics.
To change the data source. Set the document type to normal Word document from the mailings tab 'Start Mail Merge' dropdown. Then Select Recipients.
Save the document to retain the datasource with the document.
Each page of a merge document is a separate section - to print one letter you need to indicate the section to print in the pages dialog e.g. s2
http://www.gmayor.com/individual_merge_letters.htm. will split the merge to separate files for each record, named from the data.
You can print on any printer that the PC can access by selecting that printer as the active printer.
Practice with a much smaller dataset.