Have you added the address fields to the envelope? See
http://www.gmayor.com/mail_merge_labels_with_word_xp.htm or
http://www.gmayor.com/merge_labels_with_word_2007.htm

Signature
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Graham Mayor - Word MVP
My web site www.gmayor.com
Word MVP web site http://word.mvps.org
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> Everytime I try to Preview my selected recipients list in the mail
> merge task pane, the addresses don't appear and only my return
> address printed on the envelope.