Hi Tommy,

Labels in Word are Tables.
The order, normally is across and then down. There is no simple way to change this.

You could use set up the label page, manually, as a five-column page, not table columns but section columns. Have a single-column table in the five-column page. The order will then go down the column to the end and then to the next column.

You could use a SEQ field for your numbering an simply set the first number.
SEQuence Field

You could use Mail Merge with that as your primary letter-type merge document and an Excel spreadsheet as your data source. The numbers are in Excel.
Mail merge using an Excel spreadsheet - Word
Note, you are not using a label merge if you want your numbering vertically rather than across the page.

Here is my chapter on Numbering in Microsoft Word. Here is my chapter on Tables.