Create the label merge, then change the document type from label to form
letter from the merge toolbar and remove any NEXT fields from the labels,
then merge.
See http://www.gmayor.com/mail_merge_labels_with_word_xp.htm
Alternatively use New document option from the envelope/label wizard dialog,
which will give you a blank sheet of labels. Use this as the basis for a
form letter merge. Put your fields in the first label, then select the
content of that cell and copy to the clipboard. Select the whole table and
paste the clipboard content. Merge the resulting document.