Word doesn't know what columns in the Excel sheet you want in your labels,
so you have to insert a "Merge field" for each column you want to appear. If
you are using Word 2002 or 2003, the thing to do is insert the fields you
want in the first label, then use the Propagate Labels option (or button) to
copy those fields to all the other labels without disturbing the Next Record
fields. It's often easier to work with mailmerges if you use Tools|Customize
to enable the Mailmerge toolbar where all the main MailMerge functions are
available.

Peter Jamieson

See http://www.gmayor.com/mail_merge_labels_with_word_xp.htm