If you actually want to draw ON the label control, then you need to construct a class derived from Label and override the OnPaint method:
protected override void OnPaint(PaintEventArgs e)
{
base.OnPaint(e);
Rectangle rect = new Rectangle(0,0, Width, Height);
rect.Inflate(-5, -5);
e.Graphics.FillRectangle(Brushes.Blue, rect);
}