Use a control array, that would be best.

Otherwise, you can refer to a control as follows:

FormName("ControlName").Property

So it'd be:
Code:
Dim i As Long 
i = 1
Open "C:\datain.dat" For Input As #1 
Do While i < lngCOUNT 
    Line Input #1, strLine
    Me("Label" & i).Caption = strLine
    i = i + 1 
Loop
Close #1