Create a document containing a table with as many columns as you need for
the fields in your address
e.g. Name, Street, City, State, Zip, etc
and then enter the data into the rows of the table.  Save this document in
the My Documents\My Data Source folder

See the article "Creating a Mail Merge Data Source" at:

http://www.word.mvps.org/FAQs/MailMerge/CreateADataSource.htm

See the article "How to convert addresses into a Mail Merge Data Source" at:

http://www.word.mvps.org/FAQs/MailMerge/ConvertAdrsToDatafile.htm

See the article "How to create a Mail Merge" at:

http://www.word.mvps.org/FAQs/MailMerge/CreateAMailMerge.htm

And also see the article "Mail Merge to Labels with Word XP" on fellow MVP
Graham
Mayor's website at

http://www.gmayor.com/mail_merge_labels_with_word_xp.htm