[It helps to add subsidiary questions/information as an 'answer' on your original thread, rather than starting a new one, but it's not important. Welcome to AB anyway!]
Jam labels:
1.Click Mailings > Labels
2.Click Options
3. Select your label vendor and code. If you can't see your labels listed there, try Avery A4, J8160. If you can't find that, read my next paragraph.
4. Click OK
5. Type your text
6. Right-click on it and select Font or Paragraph to enable you to format the text.
7. Under Print, select Full Page of the Same Label (or Single Label, as required, entering its location on the grid)
8. To print without saving, click Print. To save your document for future use, click New Document,then Save and File > Print.
If you couldn't find the right size of label listed, try googling for the name of a manufacturer which appears in the list offered by Word, together with '21 per sheet'; that might give you a product code you can use. Otherwise click on any label size that's roughly correct. Then, in the Label Options box, select your printer type and click on New Label. Give your label a name and enter its height, width and pitch. (Pitch = label + margin).
Click OK twice and proceed as above.
Mail merge:
1. Go to File > New > Blank document
2. Go to Start Mail Merge > Labels (in the Mailings tab)
3. Select the product number for your labels (or create a new custom label) as above.
4. Click OK
5. Follow the normal Mail Merge procedures. (Ask if in doubt).
If that lot doesn't help, and your labels still seem to be slipping out of alignment, it could be a physical problem rather than a software one. (i.e. the labels are actually slipping on your printer's rollers). You might need to look for a way of adjusting the roller tension (e.g. by telling your printer that you're printing on card or photo paper, rather than on ordinary paper). If you need help with that we'll need to know which printer you've got.