All this is possible within VBA but it's not really an easy macro.
You could decide to split this problem into pieces, which would make it easier to write some code. For example one macro that opens the datasource dialog:

-------------------------------------------------------
 Sub ChooseDataSource()
  Dialogs(wdDialogMailMergeOpenDataSource).Show
 End Sub
-------------------------------------------------------

One that opens the dialog where you can specify query options:
-------------------------------------------------------
Sub SetQueryOptions()
  Dialogs(wdDialogMailMergeQueryOptions).Show
End Sub
-------------------------------------------------------

and one that merges the result to a new document
-------------------------------------------------------
 Sub MergeMyDocument()

  With ActiveDocument.MailMerge
    .Destination = wdSendToNewDocument
    .Execute pause:=True
  End With

 End Sub
-------------------------------------------------------

etc.

You can also get example code by recording the actions. See:
Creating a macro with no programming experience using the recorder
http://www.mvps.org/word/FAQs/MacrosVBA/UsingRecorder.htm

Hope this helps,
regards,
Astrid

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Visit the MVP Word FAQ site at http://www.mvps.org/word/

This was the non-easy part I was talking about ;-)
What you're trying to do is not easy if you want to do it all in one macro. That's the reason I suggested you split the macro in separate ones.
If you run the macros in sequence you can take all the necessary actions without the need of the macro to pause and save the selections you've made.
If - for example - you run the macro that I posted earlier that asks you to select the datasource, the datasource will be set for the current document.
If you run the macro to set the query options, fill the options and press Ok, the options will be set.

If you want to combine this in one macro, it'll a much more complicated macro to create. Since you mention you're not really experienced with VBA (yet), I wouldn't suggest this as one of your first macros.

For more info on the different objects, methods etc that are available in VBA, search the VBA Helpfile. You may need to install this, cause AFAIK it isn't installed in a default installation. Just add it in Control Panel - Software - Microsoft Offic.

Apart from that you may want to read the following article:

Getting to grips with VBA basics in 15 minutes
http://www.mvps.org/word/FAQs/MacrosVBA/VBABasicsIn15Mins.htm

On the same site, there are plenty of examples available on programming Word, you might want to visit:
http://www.mvps.org/word/FAQs/MacrosVBA/

Hope this helps,
regards,
Astrid

So that all can benefit from the discussion, please post all follow-ups to the newsgroup.
Visit the MVP Word FAQ site at http://www.mvps.org/word/