It sounds like you're starting within Access? If that's the case, the word file automatically opens when you select the merge option.
Example: Table or query is highlighted in Access that you want to use for the merge.
Option for Word merge is selected from toolbars.
You're given the choice to select existing Word document or new document - in either case THAT document will open up (existing one selected or new one).
You're then IN Microsoft Word, with the ability to select fields from the table/query and to merge the document.
Are you starting the word merge differently?