Gar,
The Data Environment does open the database for you, but it does not make that database the current one (SET DATABASE TO ...). I would suggest that you give your lable class a few properties to record the database, table, adn field of interest. Then your code could be;
SET DATABASE TO (This.cDatabase)
This.Caption = DbGetProp(This.cTable+This.cField, "FIELD", "CAPTION")
This way you set the properties in the form designer when you drop the label in and the init handles setting the caption.