I just set up a test.
I make an Excel spreadsheet, with three worksheets contained in it (worksheets named Alpha, Beta, and Charlie).

When I went to the Mail Merging steps (within Word), and I had to go and select an existing list (my Excel doc) I was then asked to "Select Table" and the three names of the three worksheets contained within that one excel .XLS document displayed as Alpha$, Beta$, and Charlie$.

If you are not seeing that sort of selection, I would suppose you are doing something wrong - or else, perhaps your version of Work and excel are dramatically different than mine. I have Office 2003.