(View this document to learn about Reports in Salesforce)
Salesforce has a very robust and effective reporting feature that allows users to easily filter and sort various fields from their Contacts and Mail Groups lists. The document and videos provided give an example for running a specific report as well as how to prep a report that can be used for printing mailing labels.
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You can use you Mail Group report to print your labels after opening Word. Follow the steps provided by Microsoft that guide you on how create and print labels using a mail merge: