A family of Microsoft word processing software products for creating web, email, and print documents.
How are you going about trying to do it? On the Mailings tab are you using the Finish & Merge facility in the Finish section of the Ribbon? If you do click on that button, you will be given the options to execute the merge directly to the printer, or the misleadingly named "Edit Individual Documents", which actually creates a new document containing labels for all of the records from your data source. You can then print that document, or as many copies of it as you want.
I guess there is also the possibility that the reason that you are only able to print one sheet at at time is because your printer has problems feeding the label sheets. If that is the case, it is nothing to do with mail merge.