Crawford's almost there - you need to alter the Left property of the Label. Create a Timer control, set the interval to something low (like 10 - it's measured in milliseconds), double-click on it, and put this in:
Label1.Left = Label1.Left - 1
That will move the label to the left by one pixel roughly once every ten milliseconds. Play with the values to get the right speed and smoothness.
You'll also need to move the label when it goes off the screen - I'll let you figure that one out.