Yes stephen, "Word" is certainly smart enought to do multiple pages. :-)
You should see a dialog box with fields to input the range of addresses or
all addresses. This should appear immediately prior to printing. You can
also select (in the same box) print to file, so you can preview the pages
before you print and after you are satisfied, print from there.
Hope this helps,
Frank l

multiple pages.  Isn't Word smart enough to produce enough labels for my
entire data set?  How do I fix this?

Of course it is. What we have here is pilot error :)
You need to complete the merge either to a new document or the printer. You
are looking at the merge source document.
See http://www.gmayor.com/mail_merge_labels_with_word_xp.htm