If you want to set up a Mail Merge using contacts that you have on a database for instance.
This is quite straightforward to do. When you click on Get Data Source instead of choosing Create Data Source choose Open Data Source option and follow the prompts
By practising you will soon gain speed. Performing mail merges are much quicker than entering your Data Source records for each contact and letter.

If you want to merge to labels choose Mailing Labels as your Main Document in the Create Main document and then press the Set up button
From the Set up option, find the labels dialogue box.
Measure the label to find one that fits, or if you use Avery labels,
find the correct number on the label.
Then Click OK