No further help would be possible without your providing your Outlook/Word
version and a more accurate description of the steps you are using.
In more recent versions you should dismiss the mail merge helper immediately
after selecting the label type and use the mail merge toolbar thereafter to
complete the merge. Also, in Outlook/Word 2002/2003 there is an extra step
required to create mailing labels. Instructions here:
http://support.microsoft.com/?kbid=284401