Mail Merge using Excel,Multiple Workbook

I have an excel spreadsheet with 3 workbooks – all of them contain names and addresses. The headings are on the first workbook. I go into Word and use the mail merge facilty – mailing labels and open the excel spreadsheet as the data source. I get asked if it is the Entire SpreadSheet and I click OK. But it will only pull in the details on the first workbook. How do I get it to pull in the details from the second and third workbook. I could take each workbook and create a separate spreadsheet but I don’t want to have to do this.

thanks.