Simplest way is just to test for Label10.Visible = True inside the Form_MouseMove event, like this:
Private Sub Form_MouseMove(Button As Integer, Shift As Integer, X As Single, Y As Single)
If Label10.Visible = True Then
MsgBox "Game Over!"
End If
End Sub
However, that means that unless your button is overlapping your label, there's no way to get the mouse from your button to your Label without triggering the Form_MouseMove event.
Not knowing anything about your game, or how the controls work in it, I hesitate to offer any specific advice. You may want to look at the Game Development forum here for some ideas. Good luck!