How do I change stock settings when printing labels in MS Word 2003?

I am trying to change the stock settings of the Envelopes and Labels wizard. I would like to be able to open word, go to the wizard, enter the label, and click the “print” button. When I do this now it is sent to the printer as “plain paper.” Is there a way to have it detect paper type from the label setting? Is there a way to get the print dialogue instead of automatically printing? It works if I apply the labels to the document and then select “Print…” from the File menu. After selecting labels as the paper type the wizard then will send the job as “lables” for the paper type.