I was a NM scholar a long time ago, so I'm sure things are a little different now. However, I didn't prepare for anything. I simply took the tests and filled out the necessary paperwork. If you score well enough, you get a semifinalist letter that explains how to continue in the scholarship competition.

The steps are detailed at
http://www.nationalmerit.org/

The first step is to take the PSAT, which is given in the fall, usually in your junior year. The students with the highest index PSAT scores are eligible to start the process. The index score is the combined section score, so you have to do extremely well on all sections of the exam. The web site says that currently about 16,000 of 1.4 million test takers become semifinalists.

The is a little more to it than this, but basically, semifinalists have to demonstrate exceptional grades/academics in grades 9-12 and then get a terrific SAT score. You also have to write an essay, get letters of recomendation from teachers, and provide information about your extracurricular activities. Other than the PSAT/SAT score requirements, this part of the scholarship process is like any other scholarship application.

There is a hugh market in test prep material that wasn't around when I was a teenager, so I'm not sure how worthwhile the study aids really are, but certainly anything that makes you more familiar with the question styles would help.

For a place to start investigating study requirements, take a look at the company that sponsors the exam.
http://www.collegeboard.com

Good luck!
Jill