I'm going to assume you do and talk you through it step by step so apologies in advance for the length of this post.... I'm drawing on help from dp here also
On the Tools menu, point to Letters and Mailings, and then click Mail Merge Wizard.
Under Select document type, click Labels.
The active document becomes the main document.
Click Next: Starting document.
If you're familiar with the mail merge feature or prefer to work outside the wizard, you can use the Mail Merge toolbar. The buttons are arranged in sequence from left to right.
To create a new sheet of labels:
Click Change document layout.
Click Label options.
In the Label Options dialog box, select the options you want, such as the label type and size, and then click OK.
For Help on an option, click the question mark , and then click the option.
Select recipients.
Locate or create a data source, and then select recipients
Do one of the following:
Connect to a Microsoft Outlook Contacts List
Under Select recipients, click Select from Outlook contacts.
Click Choose Contacts Folder.
In the Select Contact List folder dialog box, click the contact list you want, and then click OK.
All of the contacts in the folder appear in the Mail Merge Recipients dialog box, where you can refine the list of recipients to include in the merge.
Connect to a different type of list, such as a database or Office Address List
Under Select recipients, click Use an existing list.
Click Browse.
In the Select Data Source dialog box, locate and click the data source you want.
By default, Microsoft Word opens the My Data Sources folder.
Click Open.
Depending on the type of data source you select, other dialog boxes may appear asking you to request specific information.
For example, if your data source is a Microsoft Excel worksheet that has information on multiple tabs, you need to select the tab containing the information you want, and then click OK.
All of the entries in the data source appear in the Mail Merge Recipients dialog box, where you can refine the list of recipients to include in the merge.
Create a simple new address list
Under Select recipients, click Type a new list.
Click Create.
In the New Address List dialog box, type the information you want to include for the first entry under Enter Address information; for example, title, names, and address information. You do not have to fill in every field.
To complete the first entry and move on to a new entry, click New Entry.
Repeat steps 3 and 4 until you've added all the address entries you want, and then click Close.
In the Save Address List dialog box, type a name for the address list in the File name box, and select a folder to save the list in.
By default, the address list is saved in the My Data Sources folder. It's best to keep the address list here because this is also the default folder in which Microsoft Word looks for data sources. So if you want to use this address list in a later mail merge, you won't have to navigate through files and folders to locate it.
Click Save.
All of the contacts in your new list appear in the Mail Merge Recipients dialog box, where you can refine the list of recipients to include in the merge.
In the Mail Merge Recipients dialog box, select the recipients you want to include.
How?
Do one of the following:
Use the check boxes to designate recipients
This method is most useful if your list is short.
Select the check boxes next to the recipients you want to include, and clear the ones next to the recipients you want to exclude.
If you know you want to include most of the list in your merge, clicking Select All first makes it easy to clear particular records. Similarly, if you want to include only a few records in the list, click Clear All, and then select the records you want.
Sort items in the list
This is useful if you want to see items in alphabetical or numeric order.
Click the column heading of the item you want to sort by. For example, if you want to display the list alphabetically by last name, click the Last Name column heading.
Filter items in the list
This is useful if the list contains records that you know you don't want to see or include in the merge. Once you've filtered the list, you can use the check boxes to include and exclude records as described in the previous section.
Click the arrow next to the column heading of the item you want to filter by.
Click any of the following:
(Blanks) displays all the records in which the corresponding field is blank.
(Nonblanks) displays all the records in which the corresponding field contains information.
If your data source contains records that share the same information, and there are ten or fewer unique values in the column, you can filter by specific information. For example, if there are multiple addresses that list Australia as the country/region, you can filter on Australia.
The Mail Merge Recipients dialog box displays only the designated records. To display all the records again, click (All).
Click OK to return to the Mail Merge Wizard. Microsoft Word will use the recipients you designated for the merge.
For advanced sorting and filtering, click the arrow next to any column name, and then click (Advanced). Use the Filter Records and Sort Records tabs to set up the sorting or filtering query you want.
If you have installed address validation software, you can click Validate in the Mail Merge Recipients dialog box to validate your recipients' addresses.
Click Next: Arrange your labels.
Arrange the content of your labels
Insert merge fields where you want to merge names, addresses, and other information such as a postal bar code.
To copy the format and layout of the first label to all the other labels on the page, click Update all labels.
After you've completed the main document and inserted all of the merge fields, click Save As on the File menu. Name the document, and then click Save.
Preview the items. Do one of the following:
To preview the items in order, click the arrow buttons . Each record is previewed in the first label on the sheet.
To locate and preview a specific item, click Find a recipient, and then enter the search criteria in the Find Entry dialog box.
For Help on an option, click the question mark , and then click the option.
If you want to fine-tune the recipient list ? for example exclude a recipient ? click Edit recipient list, and then make your changes in the Mail Merge Recipients dialog box.
If you want to edit merged labels or save them for later use, you can collect them into a single document.
Click Edit individual labels.
In the Merge to a New Document dialog box, do one of the following, and then click OK.
To merge all the documents, click All.
To merge only the document that you see in the document window, click Current record.
To merge a range of documents, click From, and then type the record numbers in the From and To boxes.
Microsoft Word opens a single new document that contains all the individual labels. You can then save the document for later use, just as you would any regular document.
In Step 6 of the Mail Merge Wizard (Complete the merge), click Print.
In the Merge to Printer dialog box, do one of the following, and then click OK.
To print all the documents, click All.
To print the document that you see in the document window, click Current record.
To print a range of documents, click From, and then type the record numbers in the From and To boxes.
In the Print dialog box, select the options you want.
For Help on an option, click the question mark , and then click the option.
Hope this helps!!!!