Have you insertted any /fields/ in your mail merge main document - e.g. , if
you press Alt-F9, do you see things like { MERGEFIELD firstname } or {
ADDRESSBLOCK "and a load of text" } ?

If not, you need to tell Word what to print by inserting such fields, and
since you are using labels you also need to propagate the layout to all the
cells in the document.

If you have already done that, can you tell us what your data source is?

--
Peter Jamieson
MS Word MVP

See http://www.gmayor.dsl.pipex.com/mail_merge_labels_with_word_xp.htm which
explains the process with illustrations.