Creating a Mail Merge for an Activity Entity

We would like to use the Mail Merge tool in CRM 2011 to format Phone Call records into a desirable printable format. We need something other than what the standard printing of the page give us.

Is it possible to enable Mail Merge for an Activity Entity? The checkbox is currently greyed out.

If not, do you have a recommendation for Printing Phone Call records?

Thank you for your help.