Of course there are no merge fields there. It is time to produce the letter. In other words, you will Edit Main Document . Making that selection brings you back to a blank Word document. Notice that a new toolbar, Mail Merge, has been placed with the toolbars above your document.
Many buttons are gray because no field has been inserted into the letter yet.
Type the following letter. I put a space at the end of the word of and selected Insert Merge Field from the Mail Merge toolbar. Do the same in each place where you see text surrounded by the less than and greater than signs. The words will not show up in Word as purple, I did that for emphasis. If I can be of assistance please call me.