Here's what I've done so far, using Word 2007. By the way, at what point do I choose a font? Tried changing the font before starting mail merge, had no effect.

Mailings > Start Mail Merge > Step by Step Wizard

Labels > Label options > Office Depot Address 612-011 (8.5x11 page)

Select recipients > Browse > Excel 2007 file > Open

Show All > MS Excel Worksheets via DDE > Entire Spreadsheet > OK (all recipients checked)

Arrange labels > Address block > OK > Update all labels

I think this is where the problem occurs - it adds AddressBlock only to the top 3 labels and the last 2 labels on the page. All other labels still read Next Record with no AddressBlock. Am I missing something?