Directory merges don't support the insertion of mergefields into the page header. There may be other ways of achieving the desired outcome but, without seeing your mailmerge main document, it's impossible to advise. Canyour mailmerge main document to a post with an indication of precisely what you want repeated? You do this via the paperclip symbol on the 'Go Advanced' tab at the bottom of this screen.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]