<PAGE>   1
 
                  MERRILL LYNCH MUNICIPAL STRATEGY FUND, INC.
 
                   SUPPLEMENT DATED SEPTEMBER 15, 1995 TO THE
                PRELIMINARY PROSPECTUS DATED SEPTEMBER 15, 1995
 
                          FOR USE IN THE STATE OF IOWA
 
                Investing in the Fund's Common Stock will involve a
       higher than normal degree of risk. See "Risk Factors and Special
       Considerations" on page 8.
 
CODE #  18302-0995IA
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                  MERRILL LYNCH MUNICIPAL STRATEGY FUND, INC.
 
                   SUPPLEMENT DATED SEPTEMBER 15, 1995 TO THE
                PRELIMINARY PROSPECTUS DATED SEPTEMBER 15, 1995
 
                       FOR USE IN THE STATE OF MINNESOTA
 
                THESE SECURITIES MAY INVOLVE A HIGH DEGREE OF RISK
       BECAUSE THE FUND IS AUTHORIZED TO LEVERAGE MORE THAN TEN PERCENT
       OF ITS TOTAL ASSETS.
 
CODE #  18302-0995MN
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                  MERRILL LYNCH MUNICIPAL STRATEGY FUND, INC.
    
 
   
                   SUPPLEMENT DATED SEPTEMBER 15, 1995 TO THE
                PRELIMINARY PROSPECTUS DATED SEPTEMBER 15, 1995
    
 
   
                       FOR USE IN THE STATE OF NEW JERSEY
    
 
   
         THESE ARE SPECULATIVE SECURITIES. AN INVESTMENT IN THE FUND MAY INVOLVE
SIGNIFICANT RISKS. SEE "RISK FACTORS AND SPECIAL CONSIDERATIONS", "INVESTMENT
OBJECTIVES AND POLICIES -- OTHER INVESTMENT POLICIES" AND "RISKS AND SPECIAL
CONSIDERATIONS OF LEVERAGE".
    
 
   
         THE FUND MAY INVEST IN MEDIUM TO LOWER RATED MUNICIPAL OBLIGATIONS AND
IN CERTAIN MUNICIPAL OBLIGATIONS THAT ARE CONSIDERED DERIVATIVE INSTRUMENTS.
SUCH MUNICIPAL OBLIGATIONS MAY HAVE CERTAIN SPECULATIVE CHARACTERISTICS.
    
 
   
CODE #  18302-0995NJ
    
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                  MERRILL LYNCH MUNICIPAL STRATEGY FUND, INC.
 
                   SUPPLEMENT DATED SEPTEMBER 15, 1995 TO THE
                PRELIMINARY PROSPECTUS DATED SEPTEMBER 15, 1995
 
                      FOR USE IN THE STATE OF SOUTH DAKOTA
 
                THESE SECURITIES MAY INVOLVE A HIGH DEGREE OF RISK
       BECAUSE THE FUND IS AUTHORIZED TO LEVERAGE MORE THAN TEN PERCENT
       OF ITS TOTAL ASSETS AND TO INVEST MORE THAN FIVE PERCENT OF SUCH
       ASSETS IN ANY ONE ISSUER.
 
CODE #  18302-0995SD
<PAGE>   5
 
                  MERRILL LYNCH MUNICIPAL STRATEGY FUND, INC.
 
                   SUPPLEMENT DATED SEPTEMBER 15, 1995 TO THE
                PRELIMINARY PROSPECTUS DATED SEPTEMBER 15, 1995
 
                         FOR USE IN THE STATE OF TEXAS
 
         The Fund may invest a significant portion of its assets in derivative
financial products. These derivative financial products have different risks and
may have significantly more risk than traditional municipal obligations.
 
CODE #  18302-0995TX



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