Applying the label isn't the easiest thing to find. You can get to it by right clicking on the folder containing your solution file in the Source Control Explorer window (which you can get to by double-clicking on the Source Control node in Team Explorer). When you apply the label, apply it to the folder containing the things you want included in the label. Then ensure that the next screen shows you the contents of that folder (i.e. all the files you want to label)
In TFS a label is a bit like a tag. It is actually something that can be edited and you can have files of different versions included in it if you really needed to.
There is also the concept of "Changesets" in TFS. A changeset is a number that always increments on a particular server (or Project Collection in TFS2010). The number represents a unique point in time for that server instance.
To get the files from a particular version, in Solution Explorer right click on your solution and do "Get Specific Version..." In the Version group box you can change the type from the default Latest Version to specifing the Changeset, Date or Label if you want to get a version from an older point in time.
Hope that helps.
Martin.