Mail Merge??!?! What's that?? and how am I gonna do that?

The MAIL MERGE is driving me nutz.. I acutally done it once last year but i totally forgotten how to do it again. It's just never get into my mind since i thought it's going to be my first and the last time i'm gonna do it!!!! and who knows, i have another client of mine ask me to do that for them.. Oh NO.... 3 thousand and 4 hundred names are to be printed into an A4 sticker label and I'm doin manually 1 by 1!! How long am i gonna finish this!! I have no idea how i do it the previous time where I just need to transfer from excel file and Merge it to Words file, and all just appear magically. This time, it doesn't work! Ask all my Top PAs & IT friends like Shirley, Esther, Keng Yee, Kym (Tht didn't even know what am I talking about..) & of course Joseph Rajah that repeating what i just told him on the phone! I'm Stuck!! What a day with my Mail Merge! OMG... Long Long Long Long day........