Use an IF condition as documented on this page:

http://word.mvps.org/FAQs/MailMerge/MMergeIfFields.htm

Donna123 wrote:
When using mail merge in Word 2003, where is the setting you can modify to
prevent mail merge from leaving a space when there is no data for a field?
I.e., so mail merge does not leave an extra space between a first and last
name when there is no middle initial when running name tags, etc...
Thanks!