Did you set the alpha level (opacity) to eg 255? Labels default to 0 (transparent) so that you can see the background that is behind it. Set it to 255 if you'd like the label to have its own solid background, or eg 80 for a translucent effect.
No worries. I think most of us discovered alpha the hard way. I was going to mention that you should search the forum before posting a question, but luckily I tested that theory first, and discovered that this particular topic is not so easy to find if you don't already know the answer (ie, keyword: alpha)
However, in that list there is a post that might be of use to you in the near future, which mentions label borders and generally making your UI more dashing: