Jon,
Clicking "New Document" creates a table that is broken up according to the
size labels you have selected. Go to your "Tools" menu and double-check that
you have selected to "Show Gridlines". This is a toggle function, so the menu
should show "Hide Gridelines" with a depressed toggle button next to it, if
"Show Gridlines" is turned on. Select the function multiple times to toggle
the feature off and on a few times, if you are not sure which function was
selected originally. If the labels were created properly, you should see the
gridlines appear, then disappear as you toggle the feature on and off.
You can also open a blank document and create a new table yourself to see if
you can see the gridlines or not. Make sure the "Show Gridlines" feature is
selected. Then, to create a new table, go to Table > Insert > New Table. . .
and click "OK". This should create a new table using the default parameters.
If you can see the gridlines on this table, try creating the page of labels
again in the same document. If you still cannot see the page of labels, this
feature may be malfunctioning and you should try to repair your MS Word
installation.