Well we don't know what you did or what version of Word you are using, so we
can't tell what you did wrong, but it would appear that the <<Next Record>>
field is missing from in front of the first mergefield on each label other
than the first label on the sheet where it is not required.
See the following page of fellow MVP Graham Mayor's website:
http://www.gmayor.com/mail_merge_labels_with_word_xp.htm
--
Please post any further questions or followup to the newsgroups for the
benefit of others who may be interested. Unsolicited questions forwarded
directly to me will only be answered on a paid consulting basis.
Hope this helps
Doug Robbins - Word MVP