Create Mailing Labels using Contacts in Outlook 2010

I upgraded my MS Office Pro 2003 to Office Pro Plus 2010.  My operating system is Windows XP Professional.  I have been trying to create mailing labels using my contacts  from Outlook 2010.  These are the steps I followed:

1. In Word, on the Mailings tab, in the Start Mail Merge group, clickStart Mail Merge and then click the type of document that you want to make.   I choose labels then select the type of label I want.
2. In the Start Mail Merge group, click Select Recipients, and then clickSelect from Outlook Contacts.

I get an error message "Unable to obtain list of tables from the data source".

I have tried using the wizard and get the same error message.  I have checked in Outlook and the properties of the Contacts folder is set to "Show this folder as an e-mail Address Book".

Is there something I need to do to get this to work?