1. If you have not already installed a labels gadget in your sidebar, you'll need to do so. Go to design-->add a gadget-->labels. Don't worry. You can remove this gadget once you've got the url for the label that you want.
2. Right click on the label that you want to link to. Select 'Copy Link Location' or 'Copy Shortcut'.
3. Create a link on your blog where ever you want to link to the label. Paste the url of the label that you copied in step 2 in the Enter URL box and save. Click here for help with links in a post.
4. Remove your labels gadget (if desired).
That's it! Label and link away!