The Label check box displays information about the image on the upper left side of the image window.  This is helpful if you print the image.  With detailed information about the image clearly displayed, mistakes can be avoided.  When printing, also consider using the Invert Image option to save on toner.

Label displays the ra and dec coordinates of the object at the center of the image, the scale, and the image zoom.  Scale tells how many arcseconds of sky are displayed in each pixel.  Image zoom lets you know how much the computer has zoomed in on the object as compared to the orignial SDSS image.  The best way to understand what is going on is to pay attention to these numbers as you zoom in and out.