Ofice 2002 and Mail Merge

I know how te create a mail merge document. And I dont have any problems with that. My problem is that I want to create a mail merge document and then attach a zip file. When I get to the end just before I have to mail the document I get the screen where I need to add the Recipient, subject line and the mail format. There is no place to attach a document. Does any one know how I can attach a document to a mail merge e-mail ?