If you can't find the exact explanation, maybe this will help.
"Print mailing labels by merging an address list
1 Click New to start a new document.
2 On the Tools menu, click Mail Merge.
3 Click Create, click Mailing Labels, and then click Active Window.
The active document becomes the mail-merge main document.
4 Click Get Data.
To create a new list of names and addresses in Word, click Create Data Source, and then set up the data records.
To use an existing list of names and addresses in a Word document or in a worksheet, database, or other list, click Open Data Source.
To use addresses from an electronic address book or an Outlook or Schedule+ contact list, click Use Address Book.
5 After you designate the data source and Word displays a message, click Set Up Main Document.
6 In the Label Options dialog box, select the type of printer and the type of labels you want to use.
If your label type is not listed, you can create a custom label size.
7 In the Create Labels dialog box, insert the merge fields for the address information.
8 In the Mail Merge Helper dialog box, click Merge.
9 In the Merge to box, click Printer.
To print labels for only selected addressees, click Query Options, and then specify criteria for selecting the data records.
10 Click Merge."