You need to create this as a label merge - see
http://www.gmayor.com/mail_merge_labels_with_word_xp.htm

Typically, you need a <<Next record>> field (a { NEXT } field at the
beginning of each label except the first one on the page.

If you are using Word 2002/2003, you should be able to set up the content of
the /first/ label on the page then use the Propagate checkbox in the Mail
Merge Wizard to copy the entry to all the other labels with the <<Next
record>> correctly inserted.

Otherwise, use Alt-F9 to reveal the underlying field codes, then use ctrl-F9
to insert the special field code braces {} at the beginning of label 2, then
type NEXT between them to give you
{ NEXT }

Edit|Copy, Edit|Paste that to all the other labels except the first and try
again.

If you don't see a page full of "labels", let us know what your mail merge
main document has in it.