A mail merge document relies on another file, a data source, to fill in information. For example: a sheet of mailing labels where the addresses come from an Excel workbook. Or a batch of form letters that are personalized based on customer information in a database. If the data source is moved, deleted, or renamed, the connection between it and the merge document is broken, and Word can't open or print the document.
To restore the connection between the document and the data, click Find Data Source, and then browse to the file that stores data for your merge document. If the file was renamed, pick the renamed file (you can see the original name of the data file in the File name box). If you want to set up a new data source for your merge document, click New Source and follow the steps in the Data Connection Wizard.
If you don't know where the data source is, you can recover contents of the document by disconnecting the merge document from its data source. Click Options, and then click Remove Data/Header Source. The resulting document contains boilerplate content and merge fields, but not necessarily any data.
For an overview of mail merge, see Use mail merge to create and send bulk mail, labels, and envelopes
