merging documents from excel to word

I am trying to print address labels from an excel document. So, I attempted to merge the document into Word --however, it keeps saying "Document has unmarked changes--mark to the first change OK or Cancel". I click OK and get a blank document. So then I went into tools and "Untracked changes" and it still does it.

 

This should tell you how to do it:

http://support.microsoft.com/default.aspx?id=kb;en-us;Q282307

Let me know if you have problems.