It sounds as if you are "previewing" the mere. You need to "complete" the
merge - either go to the last step of the wizard, then either merge to the
printer or "edit individual laebls", which merges to a new document, then
print that.

Or use e.g. View|Toolbars to enable the MailMerge toolbar, then find and
click the relevant button (near the right hand end).