Hi Steve,
After clicking on 'Complete Merge', Word should give you the option to send the merge to the printer, or to a new document. Since you're apparently not getting that, it seems there may be something faulty in your Word installation. I'd suggest repairing Office via Word Options > Resources > Diagnose. For further info on this, see:
http://office.microsoft.com/en-us/he...001234076.aspx