When you see the data report at design time, you see that it is divided in sections, and each section has a section number. You can see them as "Report Header (Section4)" for example. These sections are stored as an array of sections.
In each section, controls may exist, and these controls are stored as an array of controls for each section. Each control has some properties, in this case, you need to change the 'caption' property.
So, you need to open your datareport designer, see in what section the label you want to modify is, see in what position is this control in its section, and then modify the caption property.
For example, if you want to change the caption of the first label in the 'Page Header (Section2)' section, you should do it this way:
<pre>DataReport1.Sections(2).Controls(1).Caption = "My New Caption"</pre>
Datareport1.Sections("Section4").Controls("Label1").Caption = "You Caption here"