First of all, mail-merge is fine. You can use both a spreadsheet or a Word-document with a table as a data source. I can't point you to the details, because you didn't tell what version of MS Word (95, 98, 2000, XP=2002, 2003, 2007 or even one of the Mac versions) you have.
Then, if you do File>New in Word the program lets you choose from a lot of templates that Microsoft provided already. Like a report, a memo, an address list for mail-merge etc. But if you prefer to make your own ones, don't hesitate and do so. That's File>New, make it and File>Save As ... template. Then use that template as the template for your own address file: do a new File>New and point to that template to use as template (in stead of one the templates from Microsoft).
Just as you can write a 100-page report based on the default 1-page template normal.dot, you can write a 100-page label-file based on your own 1-page label-template.
http://www.google.com/search?q=use+templates+in+word will let you find some nice introductions and tutorials on templates in Word. At your version number, for example add +2003, for specific help.
Kees