Are you asking how to set up a mail merge, or specifically how to
merge to return address labels?

If it's generally about mail merge, see
http://www.word.mvps.org/FAQs/MailMe...AMailMerge.htm.

If it's about the labels, then you need to choose mailing labels as
the type of main document to use, and select the label stock number
that matches the labels you'll be printing on.

--
Regards,
Jay Freedman
Microsoft Word MVP FAQ: http://word.mvps.org