A data set label is simply descriptive information about a data set. When you bring a data set into SAS/LAB software for the first time, SAS/LAB looks to see whether a data set label is stored with the data set. If so, that label is displayed in the Label field on the main window. Otherwise, the field is left blank.
If you enter a label in the field or change the label currently in the field, the new or modified label is stored in SAS/LAB software's records for the data set. However, label changes made in this field are not permanently associated with the data set itself.
If you want to use SAS/LAB software to change the label associated with the data set itself, select 'Modify' and then 'Modify attributes of variables...' from the File pull-down menu. In the Contents window that comes up, select the button. If you have write access to the data set, you will be able to modify the data set label in the resulting Attributes window. Note that a label change made here may or may not be reflected on the main window.