Tools | Letters and Mailings | Envelopes and Labels. On the Labels tab,
click Options and, in the Label Options dialog, select the appropriate label
stock number, OK. On the Labels tab, click New Document. This will give you
a full sheet of the desired labels. They're set up as a table, so be sure
you have table gridlines displayed (Table | Show Gridlines) so you can see
the label boundaries. Type on the appropriate label.

Labels in Word are tables - the table is created by the envelope/label tool.
Choose your label type then click the new document button in the label
dialog to create the table. Fill the cells as required. If it is going to
run to more than a page, consider instead creating a label merge
http://www.gmayor.com/mail_merge_labels_with_word_xp.htm