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Before you can print a label you must create it onscreen. If it's a single label you want you can link strategically selected cells on a sheet to your data. Normally, however, you will want to print a sheet of labels at a time. The task is still the same but correspondingly bigger.
Next comes the task of managing the flow of data. The links must change to the next data row or the next set of data rows when a sheet has been printed. That's quite complex. I don't think anyone will recommend that you actually do it because Word has a ready program for that called MailMerge. The better way, therefore, is to prepare the list of addresses in Excel and then invoke Word's MailMerge to print the labels.
The process is described here.