You are asking about how to loop through the datagrid view and then using the each grid view row value perform the mail merge.
to read the datagridview rows one by one
foreach(DataGridViewRow row in dataGridView1.Rows)
string myValue1 = (string)row.Cells[ColumnIndex1].Value;
string myValue2 = (string)row.Cells[ColumnIndex2].Value;
To use the MsWord mail merge feature you must perform word automation by including the MsWord library into your project. follow the below link on how to perform word automation and mail merge