By default, a mailmerge will process however many records you have. However, the mailmerge helper has a filtering option which allows you to choose particular records - or you can output the lot to a new file then delete the ones you're not interested in afterwards.
As you seem to be starting out, see:
http://support.microsoft.com/kb/826838
http://word.mvps.org/FAQs/MailMerge/index.htm