Labels help with setting a contact to how they found your facility. What was the source of them finding your location. You get a couple of default sources from the beginning, but you can add as many as you want.
Location > Labels > Lead Sources
To add a new Lead Source, click the "Add New Lead Source" button to add one.
Type the name of your Lead Source that you use within your facility and save it when ready.
These will now show up in the Dropdown list where it will ask for Lead Source or Lead Generator. Example below: