Multiple Word files after mail merge + Rename each doc

Hello everyone,

I have browsed the forum a lot without really finding an answer that I understood, that's why I allow myself to ask my question.

I need, for work, to do a mail merge that will generate about 5000 Word documents (one page for one person).
So in the end, I need to have a folder on my PC containing 5000 Word documents, each renamed to "LAST NAME First Name".
These documents can be in .doc or .pdf (or another format), it's not important.

Firstly, I need to save each document resulting from the mail merge one by one, without doing it manually, you understand why.

Secondly, I need to be able to rename these 5000 Word documents to Last/First Name. I was thinking of using an Excel database for this, but I don't have any knowledge of Macros. Maybe there is a software capable of doing this?

Thank you in advance for your help ;)