Sounds like you probably have a <<Next Record>> field before the mergefields
in the first label on the sheet. One is not required there. I admit that
the description only partly fits that situation, that is that no label is
being created for the first record in the data source. I can't however
explain why the first label is not being printed, assuming of course that
there are mergefields in it.
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Hope this helps,
Doug Robbins - Word MVP