When you click on the label Text property in the Property window for the label, a drop down will appear in which you can, when you press Enter, go to the new line. I just tried it, and it works in Visual Studio 2010.
Here’s a screenshot to clarify:

When you click on the label Text property in the Property window for the label, a drop down will appear in which you can, when you press Enter, go to the new line. I just tried it, and it works in Visual Studio 2010.
Here’s a screenshot to clarify:
