The Label property of a Component object is read-only, so you cannot use that on the left hand side of a Set statement.
Try using a local variable instead, like this:
Set lbl = objCompBorder.AddLabel(strSheet,longBorderLabelXLoc,longBorderLabelYLoc)
If lbl Is Nothing Then
' error handling
Then you can use either the local variable 'lbl' or objCompBorder.Label in lines 6-8.
I actually originally had a variable for the Label, but eliminated it thinking I was making the code cleaner. Thanks!