* Go to Action -> Define New Print Layout -> Label Sheet

* Double-click on the first label to edit
(as shown in the movie) in The Edit Dynamic Text window,
select 'Label Cell' under fields -> Contact -> Default Role -> Organization ->
Name (you'll have to double-click on 'name')

* Click on 'ok' after you've selected the desired fields that you want shown,
and formated them.

* Ensure that all fields are visible. Save the label by going to File -> Save

The rest of the steps will be the same as shown in the training movie:
Define Label Sheet