This operation is much more harder to do than it seems.

Although all the suggestions are correct, they all fail
when the label container does not receive the MouseMove
event. This happens in two occasions: the user moves the
mouse very fast or there is another window overlapping
the label, and the mouse move from the label to that
window. I tried to use SetCapture and Release capture,
but I found another set of problems...

The safest way to handle this problem is to use another
component, that exposes the MouseEnter and MouseLeave
events, instead of the Label.

m.