Sounds like you have skipped a couple of steps - Propogating the labels and
excecuting the merge.
From the View menu, select Toolbars and then check the Mail merge item. On
the toolbar that appears, click on the Propogate Labels button that's near
the centre of the toolbar. Then click on the Merge to New Document or Merge
to Printer button over on the right.
For a more detailed description of the process, see the "Mail merge labels
with Office XP" item on fellow MVP Graham Mayor's website at
http://www.gmayor.com/mail_merge_labels_with_word_xp.htm

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Hope this helps
Doug Robbins - Word MVP
> Ms Office 2003 - When attempting to merge data from a Word
> document onto Label document - the text that appears on
[quoted text clipped - 7 lines]
> Thanks
> Arlene