You can dynamically load a label, but you must have at least one on the form to begin with.
What you probably want to do is load the values into your combo box and assign the label value at the same time within your given Do loop. You will also have to add code--if you want to dynamically add labels--to position the labels so that you can see them. If you want to make it simpler, create and place an array of 8 labels on the form to begin with.
If you are going to use the same labels for each search, then you'll have to initialize the labels to a vbNullString value before entering your Do Loop so that you won't have any left over data from a previous query.
Dim i as Integer
i = 0
' Clear Label values
for i = 0 to 7
label1(i).Caption = vbNullString
next i
Do Until Data1.Recordset.EOF 'Stops when there are no more records to be added
CmbProduct.AddItem Data1.Recordset("Product Name") 'Loads all the Products from the database and adds them to the combo box
label1(i).Caption = CmbProduct.Text
Data1.Recordset.MoveNext 'Moves onto the next record after the previous has been added
i = i + 1
Loop