Anfinnur is right, but what you CAN DO is to create it as a text-box and just change all the properties of the text box so that it will look exactly like a label. The users will not be able to see the difference.
Create a label and just set the same properties (like border, background etc.) to the text-box.
This is actually not entirely true.
I don’t know if it works with pages, but on regular forms it’s possible by using the CaptionClass property, and a little modification in CU1.
CaptionClass is a comma-seperated string, that is passed to CU1 and interpreted.
Dimension-fields use this functionality, as the caption of those fields are retrieved from actual fields in table 348
CaptionClass used like this is not seen often.
I’ve practically never seen it used for other purposes than dim-fields.
Personally i’ve only used it once, cuz i definately would go for Anfinnur and Erik’s suggestion abt. using a text-box first, as it calls for less modification.