Yes. In the Label Options dialog, select the radio button for "Dot matrix."
The first couple of labels are roll types. If they don't match the
dimensions of your labels, create new label definitions based on these and,
with luck, they'll still be roll labels. Note, however, that Word can print
these only if you have a printer that can handle them. Don't expect to, say,
feed them through the typical inkjet or laser printer.
You mention a Zebra label printer. I would be very surprised if this printer
didn't come with an add-in for Word that's expressly designed for setting up
labels to be printed using this printer.