The thing you want to do is called 'mail merge' not 'import'. And, about as important, you don't tell what instructions you followed, so it's impossible to tell what you did wrong. It certainly should be possible.

Here a few links found by Google for word excel merge. I didn't specifically search for label also, because there is no hint in your post that you can mail-merge to a letter but have problem to do it to labels. Printing labels in word is a little bit special. The first seems a nice step-by-step tutorial for both letters and labels alike.

http://www.mistupid.com/technical/mailmerge/
http://wordprocessing.about.com/od/usingmailmerg1/l/blexcelmerge2.htm
http://www.clearcutcomputing.com/mailmerge.htm

I'm quite sure these links combined are MUCH better than any member of this forum trying to explain what to do here in his own words.

If you encounter some specific problem, tell about it in as much detail as you can. And probably it still will be too less detail, but we'll see that as it comes.

Hope this helps.


Kees