To create labels using the Mail Merge feature of Microsoft Office:

Start Microsoft Word; create a new blank document.
Select menu item Tools|Letters and Mailings|Mail Merge

Step 1:
Select document type: labels

Next- Step 2, select Starting document

Change document layout: click label options and select the form number of the labels stock that you will be using to print your labels.

Next - Step 3 - Select Recipients - Use an existing list; click browse;
Select Data Source box: Point to the file you downloaded earlier; you should see a box titled Mail Merge Recipients that shows your label data; Review the listing and if it's good, click OK.

Next - Arrange your Labels - click on Address Block; unclick Insert company name; click Match fields; make sure the field names match what they are supposed to be; then click OK Click Update All Labels

Next - Preview your labels - you should now see your labels displayed in the label form you have selected. Once you have loaded the proper label stock in your printer, you can use the Print menu option to print your labels.
Note: to ensure your labels will print correctly, you should print a few test pages on regular paper before actually printing on the label stock.