You may want to check out Maestro Label Designer at OnlineLabels.com (the company that I work for). It is a web based label software that has a built-in mail merge capabilities and no download is required. You should be able to create address labels without much of an issue.
You can check out the software at the link below.
You can read instructions on doing a mail merge at the link below.
Give it a try and let me know if it will work for your needs. I can email you an activation code for free if you think it will work for your needs once you run it in demo (fully functioning) mode. Let me know.