It's been a long time since I've done this so it's going to be vague, and for that I apologize.

1. Install an ODBC (Online Database Connection) driver.
2. Use the ODBC driver to create an ODBC link to the SQL database.
3. Access the link using MS Access; create a query to pull the needed info for the merge.
4. In Word you then use the Access query as the data source for the merge.