[Solved] mail merge to separate documents?

Here's what I want to do. Is it possible?

Data source is an Excel sheet. Mail merge document is a Word document with one or two pages. I would like to merge all the records at once, but to end up not with all the records in the same document, but each record as a document itself- perhaps all plugged into a new folder. Can this be done?

Thanks Andy, that's exactly what I was looking for.