You are probably doing one of the following:
a. using the print icon in Word's toolbar, or File|Print, rather than
merging to the printer.
b. getting nearly to the last step in the merge, then not "completing" it,
and just seeing one page of labels in the preview.
If you are using the Mail Merge Wizard, and you have got to the last pane of
the Wizard, you should have options either to print the results or "edit the
individual labels". If you click that print option, the labels should be
printed. If you edit the individual labels, Word should create a new
document containing all the labels.
Peter Jamieson