Further to Doug's comments, you are not going to achieve this with columns,
or a label merge. You need to create a new table document from the label
wizard, which will give you the correct label sizes, then split each cell
vertically to give you your columns. Create your merge entry in the first
split label and add a Next Record field to the start of the left cell. Then
copy and paste the split cells to the rest of the split cells on the page.
Finally remove the Next Record field from the first cell. The procedure is
similar to that shown at http://www.gmayor.com/mail_merge_graphics.htm

Set the document type as Letter and add your data source
(http://www.gmayor.com/mail_merge_labels_with_word_xp.htm  ) then merge to a
new document