Hi and welcome to the forum!
There are a number of steps to go through to do this and I will link to them below since it's a lot of information. I'm also assuming you want to do this through Word. If not, how did you want to do it?
http://office.microsoft.com/en-us/excel-help/create-and-print-mailing-labels-for-an-address-list-in-excel-HP010243267.aspx
http://support.microsoft.com/kb/318117
hth