Look in Word Help|About for verion info. From what you say I will guess Word
XP (2002) or Word 2003.

With your mail merge main document open,
a. can you see the table gridlines (the labels are laid out using a Word
table)? Try Table|Show gridlines if necessary.
b. If so, press Alt-F9. Can you see some word Field codes in curly braces,
e.g. { NEXT } ? Can you see any other fields, e.g. { MERGEFIELD something }?
If not, then you need to insert the fields you want from the data source and
"propagate labels".

When you merge, merge to a new document. You should get a new document with
all the labels. You should be able to print that, or attach it. You should
need to mess around with notepad.

I just have a feeling you may have forgotten something in your usual
process. But yes, something could be corrupt, in which case I suggest you
try the steps in the page at http://word.mvps.org/FAQs/MacrosVBA/index.htm 
even though the title does not describe your issue precisely.

Alternatively, Graham Mayor's page at
http://www.gmayor.com/mail_merge_labels_with_word_xp.htm decsribes the
process: see where what you are doing differs from that.