This code should do the job for you.
<!--- Try to connect to the Word application object --->
<CFTRY>
<!--- If it exists, connect to it --->
<CFOBJECT
ACTION="CONNECT"
CLASS="Word.Application"
NAME="objWord"
TYPE="COM">
<CFCATCH>
<!--- The object doesn't exist, so create it --->
<CFOBJECT
ACTION="CREATE"
CLASS="Word.Application"
NAME="objWord"
TYPE="COM">
</CFCATCH>
</CFTRY>
<CFSCRIPT>
/* This will open Word if running locally */
objWord.Visible = true;
/* This returns the 'Documents' collection of the Word object */
objDoc = objWord.Documents;
/* Specify a document to open */
newDoc = objDoc.open("C:\Netscape\Server4\docs\testing\New Folder\departmentletter.doc"

;
/* Use the merge template to create a new "merged" document */
objMerge = newDoc.MailMerge;
objMerge.Destination = 0;/* 0 = wdSendToNewDocument */
objMerge.Execute();
</cfscript>
<!--- Save the newly merged document as a new file --->
<cfloop collection="#objDoc#" item="thisDoc">
<cfscript>
thisMM = thisDoc.MailMerge;
thisMMState = thisMM.state;
if (thisMMState eq 0) {
thisDoc.SaveAs("C:\Netscape\Server4\docs\testing\New Folder\departmentletter1.doc"

;
thisdoc.Close();
}
</cfscript>
</cfloop>
<CFLOOP COLLECTION="#OBJDOC#" ITEM="thisDoc">
<CFSCRIPT>
thisDoc.Close();
</CFSCRIPT>
</CFLOOP>
<!--- Close Word on the server --->
<CFSCRIPT>
objWord.Quit();
</CFSCRIPT>