Mail Merge - Filtering data

I have created a short letter and have a data source created via Word XP.
When I perform a basic merge, it works fine, however, when I ask it to Filter
the records, it seems to get confused. For example, if one of the fields is
Postcode, I ask it to filter a particular postcode and at first it seems to
work, but when you preview the letters, it does filter the correct ones but
it misses the postcode off. When I then try to take the Filter off and go
back to the full list of names and addresses, it only shows a few.

I have tried it a few times and come across the same problem each time. It
struggles with Filtering.

Can anybody help with this problem???

Thank you.

Louise