Labels are the building blocks of organizing your content. Labels are a backend filter. They can not be specified in the URL. This makes them a secure filtering solution, because you can limit your site pages to content of a certain label and not worry about a user accessing content outside of that label.
You can add labels in batch or on a per content basis. Labels can be added in batch under the "bulk operations" widget on the "browse content" page. Labels can be added manually on an individual content item, by clicking on the "edit properties" link on the content page.