No! It`s a nightmare with MS Office because e-mail Merge facility doesn`t allow you to attach a file so you have to do it manually. Stick with Excel as the data source.
First of all turn off the Automatic "Send/Receive" in Outlook. Then, assuming you create the message in Word, go to Tools>Options & on the General Tab select "File Conversion On Open"
Complete the e-mail merge & then go to the Outbox. Select all the messages (Ctrl key + A key) and drag and drop them to the "Drafts" folder. Then select about 20 at a time and open them - ignore the messages about opening them will take .... Then add you attachments. and send the individually which will put them in the Outbox again. Every so often do a Send/Receive.