If you go into the Vista help and search under "Mail Merge" or "Address Labels" things like that you will get a number of tutorials.
Or if you search the internet for Mail Merge or similar you will also get a few hits, like this
http://office.microsoft.com/en-us/help/HA01034 9201033.aspx
Normally you have to go into Word and do the mail merge from there, pointing to the Access database and sucking the data in from there..
It can be difficult to set up at first but keep at it and you will get there in the end.