If you mean via mail merge, see the article:

"Creating a Mail Merge Data Source" at:

http://www.word.mvps.org/FAQs/MailMerge/CreateADataSource.htm

and

"How to create a Mail Merge" at:

http://www.word.mvps.org/FAQs/MailMerge/CreateAMailMerge.htm

Also, take a look at

"Mailmerge Labels with Word XP" on fellow MVP Graham Mayor's website at

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