It sounds as if you may only be previewing the merge, when you need to
"complete" it, either by merging to the printer, or merging to an output
document. If you are using the Mail merge Wizard, you need to get to "Step 6
of 6" and choose either "Print..." or "Edit individual labels..."

Using the File|Print menu option or the printer icon to print a merge
document doesn't "complete" the merge either - it just prints (more or less)
the thing that you see.

Peter Jamieson