A family of Microsoft word processing software products for creating web, email, and print documents.
If you're using desktop Word, please see the instructions for using the Labels button on the Mailing ribbon:
or
https://www.howtogeek.com/408499/how-to-create-and-print-labels-in-word/
If you're using Word Online, it doesn't have any built-in feature for creating labels. Instead, you can download a file for the kind of label you have from the Avery website https://www.avery.com/templates (although Avery calls them templates, they are .docx document files) and store it in OneDrive, from which you can open it in Word Online.