Here is the code you will need.
Code each of the events as indicated.
The actual starting value of intPreview depends upon if you are using
a control to calculate [Pages] (something like ="Page " & [Paga] & "
of " & [Pages]).
Note that intPreview is Dimmed up in the report declarations section.

Option Compare Database
Option Explicit
Dim intPreview As Integer
___________________________

Private Sub Report_Activate()
intPreview = -2    ' with [Pages]
' intPreview = -1  ' without [Pages]
End Sub
___________________________

Private Sub ReportHeader_Format(Cancel As Integer, FormatCount As
Integer)

If intPreview >= 1 Then    ' with [Pages]
'If intPreview >= 0 Then   ' without [Pages]
   MsgBox "Load the Labels!"
End If
intPreview = intPreview + 1

Printing will begin as soon as the message box is clicked OK, so load
the labels before clicking.