What records do you want to have printed?At this point, Word has not officially performed the merge. That is, your letter and data file are still mostly separate. When you click one of the two options, (1) Print or (2) Edit individual letters, Word asks you what you want to merge.
Your options here are to merge all of your records, in which case you will get one page per recipient, or choose which records you want to include. When you choose the print option, Word sends your flyer right to your printer. If you made a mistake, you have to reprint the flyers. By choosing the "Edit individual letters" option, you make Word create a huge document that includes every letter just as if you'd typed the letter manually for each recipient. I usually prefer to use the latter option so I don't have to reprint things.