To navigate to your Labels section in Rho, click on the "Budgets" icon on your Rho Tool Bar which will open the sub-tabs for each area of the Budgets/Labels feature!
To create a new Label, start by selecting the "Labels" Sub Tab to be brought to the Labels Page. You will then see a button to +New Label on the top right-hand corner of that page. Please select that to begin creating your new Label!

All you need to create a Label is a Label Name and a Label Color!

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Label Name
Enter the desired name for your label. -
Color Label
Click the drop-down arrow and select the desired color for your label.
When finished, click Save Changes to add the label to the Labels page.