selecting addresses from database for printing labels

“The Mail Merge dialog you arrive at when you are ready to print labels offers these options to select the labels to be printed:
Use a query that just gives the labels you want as your data source
Select a range of records to use, either by number or by control-clicking the record selectors in the field grid.
Use the standard filter to define criteria to use”

When I arrive at the Mail Merge dialog and am ready to print the labels there is no option to select a range or to control-click the record selectors in the field grid. I’ve also tried selecting in the field grid prior to using the Mail Merge to no avail. The only option available is to print pages - not a data line or record. I can exclude records in the Mail Merge dialog but when I only want to print a couple of records, this seems burdensome. Likewise with the other options listed in the response I copied and pasted above. Please help.