This is how you do it in 2002 - I'm pretty sure it's much the same in 2003:
Run Word.
Click Tools/Letters and Mailings/Mailmerger Wizard from the main menu.
The wizard appears to the right of your document: Near the top you can select Labels.
At the bottom you should see its says Step 1 of 6, and below that, "Next: Starting document". Click on that and you get to the next stage, where you chose the label layout.
Then choose "Next: Select Recipients", where you can elec t to use an existing list or type a new list. If you elect to type a new list, you can click on "Create", at which point an editing window appears where you can type in each of the addresses. You can customize this screen so that it shows the details you require for the addresses. Then just keep filling them in and clicking "new entry" for each one.
When you close the window, you will be prompted to save the list.
From then on, it's pretty much a process of clicking next and following instructions.
I hope this helps, and that I haven't wasted your time by giving instructions that are inappropriate for 2003!