This support is no longer supported in VS 2010. Basically, we have to set the Parent property of the label to the PictureBox. And, worst, the Parent property is not even in the designer. And, worst, if you have it into a TabControl, everything get lost as far as the location.

So, I had to do this:

        ' Adjust support for VS 2010
        Label1.Parent = LxPictureBox3
        Label1.BackColor = Color.Transparent
        Label1.BringToFront()
        Label1.Location = New Point(180, 192)