Use Excel's "Text To Columns" feature
Here's a sample:
You have people's names in column A, formatted like this:
And now you want to do a Mail Merge in Word using this Excel file as your data source and you want the Last Name and First Name to be separate fields or you want to sort your Excel file by last name and you can't do this with it set up this way. This is easy to fix.
Simply highlight all the cells in column A and go to the Data menu and select "Text to Columns". When this box comes up, be sure the dot is in the radio button next to "Delimited" and notice the sample of how your data looks and click on the Next button.
In this box, remove any checks in the Delimiters section that might be there now and put a check beside "Space". This will tell Excel that you want a new column every time there is a space in column A. Your box should look like this:
Click Next and then click Finish and your First Names are now in Column A and your Last Names are in Column B.