Try :

Private Sub UserForm_Initialize()
Dim lbl As Control 'dim as Control or Forms.Label
Set MyForm = UserForm1
Set lbl = MyForm.Controls.Add("Forms.Label.1", "myLabel", True)
With lbl
.Top = 10
.Left = 10
.Height = 15
.Width = 25 'made it wider
.Caption = "TEST" 'write something
End With
End Sub