Are you using Mac or Windows and what version? What version of Microsoft Office (2000, 2001, 2004, 2007, 2008)? Do you have Adobe Acrobat?
With technical requests the more detail about the operating environment, the better.
Right off the top of my head (if you’re on the Mac) I’d recommend using Applescript or Automator to get the Mail Merge as individual Word documents at which point they can easily be ‘printed’ or converted to PDFs.
If you have Adobe Acrobat you can “Merge to Printer” in Microsoft Word’s Mail Merge Wizard and choose the Adobe PDF “printer” which will save each PDF individually.