You are not completing the merge but printing the merge source document. See
http://www.gmayor.com/mail_merge_labels_with_word_xp.htm

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Graham Mayor - Word MVP
My web site www.gmayor.com
Word MVP web site http://word.mvps.org
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> When I do a mail merge to print address labels, only the first page
> appears and prints. I know there is more than one page I need to
> print, but i can't work out where I am going wrong